the volume-returns relationship in the Indian stock market Mahender Yadav, Shalini Aggarwal and Simmi Khurana
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TextPublication details: Hydrabad I UP Publication December 2015Description: 35-48 p. PaperSubject(s):
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MURTHY, E N FINANCIAL RISK MANAGEMENT
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The present paper examines the causal relationship between trading volume and stock market returns using daily data of the S&P CNX NIFTY and Sensitivity index (SENSEX) for the period from April 1, 2002 to March 31, 2012. Using descriptive statistics, correlation analysis, unit root tests and Granger causality test, the study shows that in SENSEX, the causality runs both ways, while in the case of S&P CNX NIFTY, causality runs one way. On the basis of the above findings, the participants in the stock markets, i.e., brokers, investors, regulators, policy makers, portfolio managers and academicians, can frame strategies to deal with market volatility.
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