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An Empirical Investigation Of Asymmetric Volatility Trading Volume And Risk Return Relationship In The Indian Stock Market
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Book Synopsis An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market by : Pramod Kumar Naik
Download or read book An Empirical Investigation of Asymmetric Volatility, Trading Volume and Risk-Return Relationship in the Indian Stock Market written by Pramod Kumar Naik and published by . This book was released on 2013 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: The objective of this article is to investigate the volatility asymmetry, volatility-volume relationship by considering trading volume as a mixing variable, and the risk-return relationship in the Indian stock market. Daily data from January 2, 1997 to May 30, 2013 for S&P CNX Nifty are used for the empirical analysis. First, we employ GARCH, EGARCH and GJR-GARCH models to examine the volatility pattern in the stock market. Second, both contemporaneous and lagged trading volumes are augmented in the volatility model to empirically verify the validity of Mixture of Distribution Hypothesis (MDH) and Sequential Information Arrival Hypothesis (SIAH). The level of volatility persistence also compared. Finally, GARCH in mean extension has been tried to investigate whether the risk-return trade-off exist in the market. The findings show significant volatility asymmetry supporting the leverage effect; provide supports to MDH but the volatility shocks are found to be highly persistent even after incorporating trading volume. The study also finds evidence of no significant relationship between risk and return. The implication of the findings may be applicable to traders, speculator as well as the financial decision makers and practitioners as the trading volume reflects the information about market expectation.
Book Synopsis The Empirical Investigation of Relationship Between Return, Volume & Volatility in Indian Stock Market by : Gurmeet Singh
Download or read book The Empirical Investigation of Relationship Between Return, Volume & Volatility in Indian Stock Market written by Gurmeet Singh and published by . This book was released on 2016 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the empirical relationship between return, volume and volatility dynamics of stock market by using data of the NIFTY index of NSE during the period from Jan 2007 to March 2014. The volatility in the Indian stock market exhibits characteristics similar to those found earlier in many of the major developed and emerging stock markets. It is shown that ARCH family models outperform the conventional OLS models. We find that, the TARCH model is better fit, when we compare the GARCH, EGARCH and TARCH models, on the basis of AIC and SC criteria. Causality from volatility to volume can be seen as some evidence that new information arrival might follow a sequential rather than a simultaneous process. Moreover, in the GARCH model, ARCH and GARCH effects remain significant, which highlights the inefficiency in the market. In addition, EGARCH and TARCH models indicate the presence of leverage effect and positive impact of volatility on returns. Finally, the findings of granger causality test records the evidence of one way causality from volatility to trading volume and from return to volume.
Book Synopsis Examining Asymmetric Relationship Between India VIX, Nifty 50 Returns and Trading Volume by : Arushi Gaur
Download or read book Examining Asymmetric Relationship Between India VIX, Nifty 50 Returns and Trading Volume written by Arushi Gaur and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study investigated one of the vital issues on market microstructure, the relationship between volatility, stock returns and trading volume on Indian stock market for daily frequency from 2nd March 2009 to 31st July 2018. The investor's fear gauge measure of VIX was used as a volatility variable. The asymmetric impact of returns was estimated on volume and volatility changes. The MWALD granger test revealed that trading volume is undirectionally caused be negative returns and implied volatility VIX. Feedback relationship exists between positive returns, negative returns and VIX. Also positive and negative returns have a bi-directional causality. But the results of Toda-Yamamoto only capture the central values of dependent variable's distribution. Therefore we also estimate Quantile Regression models. The asymmetric significant relation of stock returns on changes of volatility and volume distribution was found and stronger at extreme ends of dependent variable's distribution. The study supports the behavioral justification for negative return-volatility contemporaneous relationship but not unconditionally. The evidence of volatility feedback and leverage hypothesis was also significant for lagged period. The contemporaneous negative relationship was found between volatility and volume changes highlighting that investors in India are risk-averse and informed. But the positive lagged effect of changes in volatility on trading volume supports SAIH and affirms the fact that when information gets assimilated with time, noise traders entre the market and increase liquidity. Thus their presence increases trading volume with increase in VIX level.
Book Synopsis Stock Market Dynamics by : Robert Maria Margaretha Jozef Bauer
Download or read book Stock Market Dynamics written by Robert Maria Margaretha Jozef Bauer and published by . This book was released on 1997 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asymmetric Volatility and Trading Volume by : Omid Sabbaghi
Download or read book Asymmetric Volatility and Trading Volume written by Omid Sabbaghi and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In light of the global financial crisis of 2008, this study provides an empirical investigation of the asymmetric volatility - trading volume relationship. Using national equity indices, this study conducts an EGARCH analysis for the Group of Five, or G5, countries. The empirical evidence suggests that trading volume is an important variable in explaining conditional volatility. Consistent with recent research, it is found that the presence of trading volume does not lead volatility persistence levels to decrease. In addition, our results suggest that trading volume captures a significant fraction of asymmetric volatility effects during the recent financial crisis.
Book Synopsis Dynamics of Trading Volume and Stock Returns by : Manik Lakhani
Download or read book Dynamics of Trading Volume and Stock Returns written by Manik Lakhani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This project intends to study the relationship between stock returns and their trading volume and to test the causality effects. It focuses on the 50 stocks of CNX Nifty which is a value-weighted stock index of National Stock Exchange of India. Three proxies of trading volume namely, numbers of transactions, total traded quantity (volume) and total Rupee value of the traded quantity (turnover) have been taken and the asymmetry in the relationship of returns and volume is tested through regression. The study also tries to find the best proxy for volume through granger causality. The results indicate that there is asymmetry in the relation between returns and volume and the best proxy of the volume is the turnover or the value of shares traded.
Book Synopsis Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework by : Brajesh Kumar
Download or read book Volatility Modeling, Seasonality and Risk-Return Relationship in GARCH-in-Mean Framework written by Brajesh Kumar and published by . This book was released on 2008 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is based on an empirical study of volatility, risk premium and seasonality in risk-return relation of the Indian stock and commodity markets. This investigation is conducted by means of the General Autoregressive Conditional Heteroscedasticity in the mean model (GARCH-in-Mean) introduced by Engle et al. (1987). A systematic approach to model volatility in returns is presented. Volatility clustering and asymmetric nature are examined for Indian stock and commodity markets. The risk-return relationship and seasonality in risk-return are also investigated through GARCH-in-Mean modeling in which seasonal dummies are used for return as well as volatility equation. The empirical work has been carried out on market index Samp;P CNX Nifty for a period of 18 years from January 1990 to December 2007. Gold prices from 22nd July 2005 to 20th February 2008 and Soybean from October 2004 - December 2007 are also considered. The stock and commodity markets returns show persistence as well as clustering and asymmetric properties. Risk-return relationship is positive though insignificant for Nifty and Soybean where as significant positive relationship is found in the case of Gold. Seasonality in risk and return is also found which suggests the asymmetric nature of return, i.e. negative correlation between return and its volatility.
Book Synopsis Investors' Perceptions on Trading Volume and Stock Return Volatility in Indian Stock Market by : Mahender
Download or read book Investors' Perceptions on Trading Volume and Stock Return Volatility in Indian Stock Market written by Mahender and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study aims to examine the investor's perception on trading volume and stock return volatility in Indian stock market using a structured questionnaire. Statistical tools like factor analysis, ANOVA and Cronbach's alpha are used to analyze data with the help of SPSS. The main findings show that out of the nine dimensions determined, on the basis of age, there is a significant difference in the response of the respondents in the case of tactics. On the basis of education, there is a significant difference in the response of the respondents in the case of cause-effect relationship and risk management. In all demographic profiles, there is no significant difference in trading volume and stock return volatility. The main implication of this study is for the investors and portfolio managers, as a majority of the respondents show strong willingness to use trading volume and stock return volatility as an informational tool. Therefore, this study suggests that a new approach to investment ought to be evolved which should aim at using trading volume and stock return volatility as information indicators.
Book Synopsis An Empirical Investigation Into Volume-Based Price Momentum Strategy in Indian Stock Market by : Martin Bernard
Download or read book An Empirical Investigation Into Volume-Based Price Momentum Strategy in Indian Stock Market written by Martin Bernard and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the profitability of volume-based price momentum strategies for equities included in BSE-100 index from 2004 to 2012. It is an attempt to investigate whether there exist any relationship between momentum profits and historical trading volume in the immediate horizon. To measure the effectiveness of volume-based price momentum strategies in the immediate horizon we adopted the methodology used by Lee and Swaminathan (2000) and Naughton et al. (2008). The performance of Volume-based winners and losers portfolios were analysed in Indian context for eight years. Our results show that historical trading volume has no role in boosting the magnitude of momentum return. However, the analysis of the results indicates that winners portfolios have higher turnover than their counterparts. Finally, by testing the relationship between two informational apparatus used by technicians, i.e. volume and price, we could not find any substantive evidence of strong relationship between them, there by subscribing to the weak form of efficiency of Indian stock market.
Book Synopsis Revisiting Volume-Volatility Relationship by : Pradeep K Mavuluri
Download or read book Revisiting Volume-Volatility Relationship written by Pradeep K Mavuluri and published by . This book was released on 2007 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Positive relationship between trade volume and return volatility is a well-known empirical verified regularity in the financial research. Several studies examined what causes to volume-volatility to evolve and numerous theoretical explanations have been developed to predict/explore this relationship (see Karpoff (1987) and Board et al (1990) for a number of reasons why price-volume affiliation is positive). However, the recent literature provides evidence of revisiting the volume-volatility relationship as volatility and transaction counts relationship. So far no study examines the role of transactions frequency over and above volume in explaining the volatility; hence, the present study attempts to uncover the relevance of transaction counts for Indian stock market. Specifically, the study considers component stocks of Indian barometer indices, NSE Nifty and Nifty Junior, for the period 2005. In addition, study measures volatility by five minute intra day volatility apart from traditional absolute and squared price changes. Volume is measured as average trade size. The basic hypotheses that the number of transactions drives the volatility rather than the volume has been examined by the cross-sectional averages of Nifty amp; Nifty Junior stocks after running time series regressions.
Book Synopsis The Volume Return Relationship Under Asymmetry of Info and Short Sales Prohibitions by : Pongsak Hoontrakul
Download or read book The Volume Return Relationship Under Asymmetry of Info and Short Sales Prohibitions written by Pongsak Hoontrakul and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the behaviour of stock prices in the presence of asymmetric information, when market participants are prohibited from short selling. We model the volume behaviour when high or low signals are observed by insiders, who are unable to sell unless they own stock. We demonstrate that prices adjust to good news on high volume and to bad news on low volume; furthermore, we show that the speed of adjustment is greater on bad news, that is, the price falls more quickly to a lower equilibrium price than it rises to the price corresponding to good news. Under mild conditions on the market microstructure, there is a positive intertemporal correlation between volume and return, with volume leading; additional conditions lead to the speed of adjustment result. The primary volume anomaly is tested by an empirical study of stocks trading on the Stock Exchange of Thailand, where short sales are prohibited.
Book Synopsis An Empirical Analysis on the Dynamic Relationship Between FII Trading Volume & Nifty Returns by : Dr.Lakshmi P.
Download or read book An Empirical Analysis on the Dynamic Relationship Between FII Trading Volume & Nifty Returns written by Dr.Lakshmi P. and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically examines the relationship between trading volume of FII flows and volatility of stock returns. The contemporaneous correlation and asymmetry between NIFTY returns and FII trading volume is studied through OLS. There is evidence for positive contemporaneous correlation between returns and volume. The relationship between conditional volatility and volume is investigated through GARCH model by introducing volume as an explanatory variable in the GARCH equation. The results indicate that GARCH effect is reduced only to a negligible level by the inclusion of trading volume of FIIs as an explanatory variable. This implies that FIIs influence towards persistence of volatility is very low and there may be other factors responsible for the same.
Book Synopsis Volatility Persistence and Asymmetric Effect in Indian Stock Market by : Dr. Arpit Sidhu
Download or read book Volatility Persistence and Asymmetric Effect in Indian Stock Market written by Dr. Arpit Sidhu and published by . This book was released on 2020 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study analyses the attributes of randomness in Indian securities exchange. Unpredictability in the NSE and its underlying indices show highlights of mean reversion and a reasonable level of volatility perseverance, evaluations of which give a thought of the effect and length of a specific information stun to the market. The profits unpredictability is found to show huge leverage impact and uneven reaction. The present study revolves around the idea of volatility in stock market of India, to look at the amount of volatility persistence in the National stock exchange (NSE), and to inspect the presence of leverage impact in the NSE. The daily closing prices data of selected NSE indices from 1 April, 1995 to 31, December, 2018 are collected to examine the extentof asymmetric effect in Indian stock market. Through the present investigation we came to realize that CNX IT is increasingly unstable and furthermore shows abnormal conduct as it is progressively influenced by positive news though CNX 200 shows most elevated leverage effect and asymmetric reaction, additionally CNX SERVICE which is a record with high instability perseverance, and among all indices CNX FMCG shows least volatility persistence. Results will be helpful to market participants and all other stakeholders for future investments and further research on volatility can be extended to other segments (derivatives, swaps and other macroeconomic variables) using quintile regression and other advanced GARCH family models.
Book Synopsis Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market by : Puja Padhi
Download or read book Derivatives and Asymmetric Response of Volatility to News in Indian Stock Market written by Puja Padhi and published by . This book was released on 2008 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this article is to investigate the effect of the introduction of stock index futures on the volatility of the spot equity market and to test the impact of the introduction of the stock index futures contracts, a GARCH model is modified along the lines of GJR-GARCH and EGARCH model, especially to take into account the link between information and volatility. This paper provides the evidence that there is not much change in the volatility pattern after the introduction of futures in the Indian stock market. The impacts of futures trading for the post futures period can be captured by the asymmetric coefficient (gamma), suggest that there is a statistically significant and positive asymmetric effect. Thus the introduction of futures trading has impact on the asymmetric coefficient. It shows the similar pattern for the pre and post futures period. Empirical research can be further expanded by selecting and analyzing high frequency intraday data and the inclusion of additional economic variables in the conditional variance equation.
Book Synopsis Risk-Return Relationship and Portfolio Management by : Raj S. Dhankar
Download or read book Risk-Return Relationship and Portfolio Management written by Raj S. Dhankar and published by Springer Nature. This book was released on 2019-10-24 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
Book Synopsis An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India by : Srinivasan Kaliyaperumal
Download or read book An Analysis of Price Volatility, Trading Volume and Market Depth of Stock Futures Market in India written by Srinivasan Kaliyaperumal and published by GRIN Verlag. This book was released on 2018-03-13 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: Project Report from the year 2010 in the subject Business economics - Investment and Finance, , course: Ph. D, language: English, abstract: Every modern economy is based on a sound financial system and acts as a monetary channel for productive purpose with effecting economic growth. It encourages saving habit by throwing open and plethora of instrument avenues suiting to the individuals requirements, mobilizing savings from households and other segments and allocating savings into productive usage such as trade, commerce, manufacture etc. Thus a financial system can also be understood as institutional arrangements, through which financial surpluses are mobilized from the units generating surplus income and transferring them to the others in need of them. In nutshell, financial market, financial assets, financial services and financial institutions constitute the financial system. The activities include exchange and holding of financial assets or instruments of different kinds of financial institutions, banks and other intermediaries of the market. Financial markets provide channels for allocation of savings to investment and provide variety of assets to savers in various forms in which the investors can park their funds. At the same time, financial market is one that integral part of the financial system which makes significant contribution to the countries’ economic development. It establishes a link between the demand and supply of long-term capital funds. The economic strength of a country depends squarely on the state of financial market, apart from the productive potential of the country. The efficient allocation of fund by the capital market depends on the state of capital market. All the countries therefore focus more on the functioning of the capital market. Indian financial market has faced many challenges in the process of effecting more efficient allocation and mobilization of capital. It has attained a remarkable degree of growth in the last decade and in continuing to achieve the same in current decade also. Opening up of the economy and adoption of the liberalized economic policies have driven our economy more towards the free market. Over the last few years, financial markets, more specifically the security market were experiencing a lot of structural and regulatory changes. The major constituents of financial market are money market and the capital market catering to the type of capital requirements.
Book Synopsis ATMANIRBHAR BHARAT & MANAGEMENT EDUCATION IN INDIA: NEW DIRECTIONS AND PERSPECTIVES by : Dr. Shashidhar R
Download or read book ATMANIRBHAR BHARAT & MANAGEMENT EDUCATION IN INDIA: NEW DIRECTIONS AND PERSPECTIVES written by Dr. Shashidhar R and published by Archers & Elevators Publishing House. This book was released on with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt:
