Return, volume and volaility elationship in the Indian stock market A pre and post futures analysis

By:

MAHAJAN, SARIKA

Contributor(s):

SINGH, BALWINDER

Material type:

Mixed materialsPublication details: 2012Description: 163-186Subject(s):

STOCK MARKET

NLM classification:

332.6322

In: FINANCE INDIAMSummary: The present study examines the impact of futures trading on contemporaneous and intertemporal relationships between return, volume and volatility in Indian stock market using daily data of closing prices and volume of Nifty index from Jan 1997 toJune 2006. The result shows the introduction of futures trading has significantly alerted the structure of return, volume and volatility relationship.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		26/1	Available		P14352

The present study examines the impact of futures trading on contemporaneous and intertemporal relationships between return, volume and volatility in Indian stock market using daily data of closing prices and volume of Nifty index from Jan 1997 toJune 2006. The result shows the introduction of futures trading has significantly alerted the structure of return, volume and volatility relationship.

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