The traditional saying “Market Discounts Everything” is applicable to stock returns, trading volume, and turnover as well. The present study is an analytical attempt to examine the causal relationship between stock returns, trading volume, and turnover across 10 sectoral indices of National Stock Exchange (NSE) for the period 2006–2016. To critically examine this relation, the study uses various statistical techniques such as descriptive statistics, correlation analysis, regression analysis, and econometric tests such as Granger causality test and augmented Dickey–Fuller test. The required analyses have been performed using statistical software E-views, SPSS, and Microsoft Excel. The study noticed a weak positive relationship between stock returns and turnover for Nifty Auto Index, Nifty Bank Index, Nifty Financial Services Index, Nifty Media Index, Nifty Metal Index, and Nifty Private Bank Index. The study also found a significant impact of turnover on stock returns in the case of Nifty Auto Index, Nifty Bank Index, Nifty FMCG Index, Nifty Metal Index, and Nifty Pharma Index and a significant impact of volume on stock returns in the case of Nifty Bank Index, Nifty FMCG Index, and Nifty Pharma Index. Augmented Dickey–Fuller test suggests that there exists no unit root in the data (p < 1) and the data are stationary. It is evident from the study that the causal relationship between stock returns, turnover, and volume varies across the sectoral indices.