The Dynamic Relationship between Price and Trading Volume: Evidence from Indian Stock Market
Published By: IIMA on eSS | Published Date: December, 25 , 2009This study investigates the nature of relationship between price and trading volume for 50 Indian
stocks. Firstly the contemporaneous and asymmetric relation between price and volume are
examined. Then the dynamic relation between returns and volume using VAR,
Granger causality, variance decomposition (VD) and impulse response function (IRF) are examined. Mixture
of Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied
between the conditional volatility and volume. [IIMA WP No. 2009-12-04].
Author(s): Brajesh Kumar, Priyanka Singh, Ajay Pandey | Posted on: Jan 25, 2010 | Views(1184) | Download (1975)