Intraday Variability and Trading Volume: Evidence from National Stock Exchange (Record no. 53440)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01654nam a22001697a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20210217121408.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 210217b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Sampath, Aravind |
| 9 (RLIN) | 15822 |
| 245 ## - TITLE STATEMENT | |
| Title | Intraday Variability and Trading Volume: Evidence from National Stock Exchange |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 271–295 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | In this article, we investigate patterns in returns, volume and volatility and analyse the volume–return relationship using tick-by-tick data from the Indian equity market. Based on descriptive measures and regression frameworks, we document three important findings. First, we report unusually high volatility, trading volume and number of trades during the opening and closing minutes of the market depicting a ‘U’-shaped curve, implying high market activity during these periods. Second, while accounting for trading volume, we observe that volatility is not significantly different between mid-day period and evening period as compared to the normal ‘U’ curve. Finally, we document a significant positive relationship between intraday volume and price movements controlling for microstructure effects. The impact of positive returns on trading volume is higher than the impact of negative returns, implying the presence of return–volume asymmetry in the Indian market. |
| 651 ## - SUBJECT ADDED ENTRY--GEOGRAPHIC NAME | |
| Geographic name | Intraday patterns, India, National Stock Exchange, return–volume regressions |
| 9 (RLIN) | 36015 |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Gopalaswamy, Arun Kumar |
| 9 (RLIN) | 36016 |
| 773 0# - HOST ITEM ENTRY | |
| Host Biblionumber | 29445 |
| Host Itemnumber | 80044 |
| Main entry heading | GANGOPADHYAY, SHUBHASIS |
| Place, publisher, and date of publication | NEW DELHI SAGE PUBLICATION PVT. LTD. |
| Other item identifier | 55511993 |
| Title | JOURNAL OF EMERGING MARKET FINANCE |
| International Standard Serial Number | 0972-6527 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Dewey Decimal Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dewey Decimal Classification | Main Library | Main Library | 17/02/2021 | Vol 19, No 3/ 55511993JA1 | 55511993JA1 | 17/02/2021 | 17/02/2021 |