Examining Asymmetric Relationship Between India VIX, Nifty 50 Returns and Trading Volume
Author | : Arushi Gaur |
Publisher | : |
Total Pages | : 0 |
Release | : 2020 |
ISBN-10 | : OCLC:1375169613 |
ISBN-13 | : |
Rating | : 4/5 (13 Downloads) |
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.