000			01654nam a22001697a 4500
999			_c53440 _d53440
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005			20210217121408.0
008			210217b ||||| |||| 00| 0 eng d
100			_aSampath, Aravind _915822
245			_aIntraday Variability and Trading Volume: Evidence from National Stock Exchange
300			_a271–295 p.
520			_aIn 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			_aIntraday patterns, India, National Stock Exchange, return–volume regressions _936015
700			_aGopalaswamy, Arun Kumar _936016
773	0		_029445 _980044 _aGANGOPADHYAY, SHUBHASIS _dNEW DELHI SAGE PUBLICATION PVT. LTD. _o55511993 _tJOURNAL OF EMERGING MARKET FINANCE _x0972-6527
942			_2ddc _cJA-ARTICLE