Please use this identifier to cite or link to this item: http://hdl.handle.net/10603/387350
Title: Stock trading volume
Researcher: Alok Kumar
Guide(s): Nachane, D.M. and Chaudhuri, Kausik
Keywords: Economics
Economics and Business
Social Sciences
University: Indira Gandhi Institute of Development Research
Completed Date: 2008
Abstract: The literature on asset market and market microstructure has devoted surprisingly little attention newlineto trading volume. Many economic models of financial markets and market microstructure have newlinebeen developed to explain the predictability of prices (returns), and information content of it. newlineHowever, far less attention has been devoted to explain the behavior of trading volume. To fill newlinethis gap in the literature, this study tries to expand our understanding of trading volume for an newlineemerging market by empirically estimating econometric models using recently available daily newlinevolume data for individual securities listed on the Bombay Stock Exchange (BSE) and the National newlineStock Exchange (NSE). The analysis carried out serves several purposes : a) understand newlinethe motives for trade and the process by which trades are realized, b) the interaction between newlineprice and volume, and c) the roles that risk preferences and market frictions play in determining newlinestock trading activity. Our empirical contributions include : (1) the construction of a volume newlinebased index for the Indian equity markets and comprehensive exploratory data analysis of the newlinetime-series behavior of trading volume; (2) modeling trading volume series using long-memory newlinemodels and its forecasting performance; (3) estimation of dynamic price and volume relations using newlineMarkov Switching framework; and (4) a new approach for empirically identifying various newlinefactors determining the stock trading volume. The empirical result that stock trading volume newlineis a long-memory process, does not affect market efficiency. The MS-VECM model with two newlineregimes provides a good characterization of the asymmetry in price-volume dynamics for the newlineIndian stock markets with the high volatility regime associated with important local (social, newlineeconomic, and political) and international events affecting the Indian Stock markets. The results newlinealso demonstrate that many of the chosen stock-specific characteristics explain a significant portion newlineof the variation in Indian stock trading volume and suggest that
Pagination: xii, 162p
URI: http://hdl.handle.net/10603/387350
Appears in Departments:Indira Gandhi Institute of Development Research

Files in This Item:
File Description SizeFormat 
01_title.pdfAttached File29.32 kBAdobe PDFView/Open
02_declaration.pdf47.49 kBAdobe PDFView/Open
03_certificate.pdf246.44 kBAdobe PDFView/Open
04_acknowledgement.pdf48.47 kBAdobe PDFView/Open
05_contents.pdf56.93 kBAdobe PDFView/Open
06_list_of_tables.pdf59.09 kBAdobe PDFView/Open
07_abstract.pdf67.46 kBAdobe PDFView/Open
08_chapter1.pdf81.15 kBAdobe PDFView/Open
09_chapter2.pdf250.57 kBAdobe PDFView/Open
10_chapter3.pdf333.7 kBAdobe PDFView/Open
11_chapter4.pdf329.94 kBAdobe PDFView/Open
12_chapter5.pdf207.64 kBAdobe PDFView/Open
13_bibliography.pdf88.83 kBAdobe PDFView/Open
14_appendix.pdf85.29 kBAdobe PDFView/Open
80_recommendation.pdf85.55 kBAdobe PDFView/Open
Show full item record


Items in Shodhganga are licensed under Creative Commons Licence Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0).

Altmetric Badge: