Return, volume and volatility relationship in Indian Stock Market
MAHAJAN, SARIKA
Return, volume and volatility relationship in Indian Stock Market Pre and post rolling sattlement analysis - 2013 - 413-428
The present article examines the impact of rolling settlement on contemporaneous and casual relationship between return, volume and volatility in Indian Stock Market using daily data of closing prices and volume of NIFTY index of NSE and SENSEX ofBSE from January 1997 to June 2007. The correlation analysis reveals that conteemporaneous relationship is not detected between volume and returns in post rolling settlement period for both NIFTY and SENSEX.
STOCK MARKET
332.6322
Return, volume and volatility relationship in Indian Stock Market Pre and post rolling sattlement analysis - 2013 - 413-428
The present article examines the impact of rolling settlement on contemporaneous and casual relationship between return, volume and volatility in Indian Stock Market using daily data of closing prices and volume of NIFTY index of NSE and SENSEX ofBSE from January 1997 to June 2007. The correlation analysis reveals that conteemporaneous relationship is not detected between volume and returns in post rolling settlement period for both NIFTY and SENSEX.
STOCK MARKET
332.6322