The Study Of Dynamic Relationship Between Trading Volume, Return and Volatility

manju smita dash


The dynamic relationship between trading volume, return and volatility of CNX Nifty Index Future in NSE.The result shows that the  relationship between trading volume and return irrespetive of price change is positive and  significant .Furthermore evidence is found rejecting an asymetric relationship between return and trading volume,which is consistence with the findings of (Karpoff,1987) who states the evidence from futures market , where cost of taking long and short position is same. Granger causality test demonstrates that returns cause volume. Also we find a positive relationship between trading volume and volatility by using GARCH(1,1) model .The inclusion of volume as a proxy for information arrival in the condtional variance function helps in explaining the GARCH effect in lagged form than its contemporous form. So in a contemporous form volume may be a poor proxy for market micro level analysis.

پاراگلایدر Full Text: PDF


  • There are currently no refbacks.

Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.

ISSN : 2251-1547