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The Empirical Investigation of Relationship between Return, Volume and Volatility Dynamics in Indian Stock Market

This paper examines the empirical relationship between return, volume and volatility dynamics of stock market by using daily data of the Sensitive Index (SENSEX) during the period from October 1996 to March 2006. The empirical analysis provides evidence of positive and significant correlation betwe...

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Principais autores: Sarika MAHAJAN, Balwinder SINGH
Formato: Artigo
Idioma:Inglês
Publicado em: Ala-Too International University 2009-11-01
coleção:Eurasian Journal of Business and Economics
Assuntos:
contemporaneous relationship
causal relationship
linear Granger causality
GARCH (1
1)
EGARCH
Acesso em linha:http://www.ejbe.org/EJBE2009Vol02No04p113MAHAJAN-SINGH.pdf
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