Intraday Variability and Trading Volume: Evidence from National Stock Exchange
09 Jul 2020-Journal of Emerging Market Finance (SAGE PublicationsSage India: New Delhi, India)-Vol. 19, Iss: 3, pp 271-295
TL;DR: In this paper, the authors investigate patterns in returns, volume and volatility and analyse the volume-return relationship using tick-by-tick data from the Indian equity market, based on descriptive mea...
Abstract: In this article, we investigate patterns in returns, volume and volatility and analyse the volume–return relationship using tick-by-tick data from the Indian equity market. Based on descriptive mea...
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11 Nov 2022
TL;DR: In this paper , the authors investigate the influence of the time on the efficiency of Indian capital markets and propose a recommendation engine that can assist as a feedback system for better investment actions and an efficient capital market.
Abstract: This study aims to investigate the influence of the time on the efficiency of Indian capital markets and to propose a recommendation engine that can assist as a feedback system for better investment actions and an efficient capital market. It uses the data comprising fifty stocks listed on the National Stock Exchange over a period from Jan'2015 to Dec'2020 to determine the capital market efficiency and its trends using three techniques: correlation test, residuals test, and runs test. The proposed recommendation engine can generate the implications of contemporary events on the stock prices which can further bring the pricing errors to the surface faster. It can also assist in enhancing the capital market's efficiency which leads to a reduction of arbitrage opportunities and faster removal of pricing anomalies in the market.
11 Nov 2022
TL;DR: In this article , the authors investigate the influence of the time on the efficiency of Indian capital markets and propose a recommendation engine that can assist as a feedback system for better investment actions and an efficient capital market.
Abstract: This study aims to investigate the influence of the time on the efficiency of Indian capital markets and to propose a recommendation engine that can assist as a feedback system for better investment actions and an efficient capital market. It uses the data comprising fifty stocks listed on the National Stock Exchange over a period from Jan'2015 to Dec'2020 to determine the capital market efficiency and its trends using three techniques: correlation test, residuals test, and runs test. The proposed recommendation engine can generate the implications of contemporary events on the stock prices which can further bring the pricing errors to the surface faster. It can also assist in enhancing the capital market's efficiency which leads to a reduction of arbitrage opportunities and faster removal of pricing anomalies in the market.
01 Jan 2021
TL;DR: In this paper, the authors explored the possibilities, methods and procedures of analysis of trading volumes and the possibilities of their use in maximizing earnings from trading of financial instruments using formal methods such as analysis and synthesis of theoretical findings and others.
Abstract: Research background: When we start looking for tools that could give a trader a certain trading advantage, we will certainly come across the problem of analysing the trading volume. This is an advanced type of analysis where the primary price chart of the underlying asset is not analysed, but traders focus on the volume of trades that have been executed at certain price levels. Although it may seem like an innovative method, this type of analysis has been used for several decades. In our article, we elaborated the theoretical basis of the analysis of trading volume as a tool for predicting the movement of prices of financial instruments.Purpose of the article: The aim of our article is to explore the possibilities, methods and procedures of analysis of trading volumes and the possibilities of their use in maximizing earnings from trading of financial instruments.Methods: We used formal methods such as analysis and synthesis of theoretical findings and others.Findings & Value added: Based on the study of the analysis and synthesis of theoretical data, we identified and described the possibilities of using the analysis of trading volume in the process of predicting the price movements of financial instruments. We consider the aim of the article to be fulfilled and we believe that it will be a valuable contribution in the field of research on this issue.
References
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TL;DR: In this article, the authors examined the impact of call auction on the performance of the Indian stock market and found that the intraday pattern of volume and volatility in the continuous market remains unchanged even after the introduction of the call.
Abstract: Call markets are claimed to aggregate information and facilitate price discovery where continuous markets may fail. Its advantage, however, comes at the cost of immediacy. The impact of the introduction of call auction has not been found uniformly beneficial, possibly due to poor design or due to “thick market externalities”. This paper examines the recent re-introduction of opening call auction at the National Stock Exchange of India. This was advocated based on the evidence of positive effect of call auction on market quality at phases with high volatility or information asymmetry. The results suggest that the intraday pattern of volume and volatility in the continuous market remains unchanged even after the introduction of the call. The volatility and volume still take about 30 minutes to stabilize and the auction attracts very little volume. There is excess price movement in the call auction as suggested by the negative intraday return correlations. However, the synchronicity of price discovery, on the lines of Pagano and Schwartz (2003), indicates some improvement in the market quality. Possibly, the no all-round improvement of price discovery could be attributed to the extremely short duration of the call auction. The paper contributes to the understanding of the impact of opening call auction on market quality.
12 citations
"Intraday Variability and Trading Vo..." refers background or methods or result in this paper
...Agarwalla, Jacob, and Pandey (2015) and Sampath and Arun Kumar (2015) are two such studies that have explored intraday volatility patterns in the Indian equity market....
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...4 As we observe periodic patterns in our dataset, we use the transformation suggested by Jain and Joh (1988), Copeland and Jones (2002) and Agarwalla et al. (2015) to account for the period- and day-specific effects....
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...Agarwalla et al. (2015) focused on the impact of call auction on opening price volatility while also addressing the impact of block trades on market volatility. Sampath and Arun Kumar (2015) documented few intraday patterns using a longitudinal dataset....
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...In the Indian context, Agarwalla et al. (2015) studied the impact of call auction on opening period volatility....
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...In the Indian context, Agarwalla et al. (2015) studied the impact of call auction on opening period volatility. The study provided evidence to suggest that call auction did not reduce the opening period volatility in the Indian market. Pati and Rajib (2011) used time series regressions to indicate return–volume relations between spot and futures, strengthening the cost of carry model in an intraday set-up....
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TL;DR: In this article, two methods of adjusting for intraday periodicity of high-frequency financial data: the well-known Duration Adjustment (DA) method and the recently proposed Time Transformation (TT) method were examined.
11 citations
"Intraday Variability and Trading Vo..." refers background in this paper
...Similarly, Harris (1986), Jain and Joh (1988), McInish and Wood (1990), Ozenbas, Schwartz, and Wood (2002), Glezakos, Vafiadis, and Mylonakis (2011), Tse and Dong (2014), etc. also provide evidence of intraday patterns in returns and volume of developed markets including US and European markets....
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TL;DR: In this article, the authors examined intra-day volatility of the Athens (GI), Frankfurt (DAX) and New York (DJ) Stock Markets under conditions of economic crisis.
Abstract: The purpose of this paper is to examine intra-day volatility of the Athens (GI), Frankfurt (DAX) and New York (DJ) Stock Markets under conditions of economic crisis. After utilizing 5 minutes intervals of the periods September – December of 2008 and 2009, a U-shaped intra-day volatility pattern was observed for DJ and an L-shaped one for DAX and GI. The results indicate a sharp spike in the first 30 minutes and some weaker spikes for the rest of the trading. Moreover, the influence of the New York Stock market to the European markets was dominant. At the same time, GI and DAX exhibited a significantly positive correlation, particularly in last quarter of 2008. Finally, volatility of returns was unusually high in 2008, obviously due to the prevailing global financial crisis.
7 citations
"Intraday Variability and Trading Vo..." refers background in this paper
...Similarly, Harris (1986), Jain and Joh (1988), McInish and Wood (1990), Ozenbas, Schwartz, and Wood (2002), Glezakos, Vafiadis, and Mylonakis (2011), Tse and Dong (2014), etc. also provide evidence of intraday patterns in returns and volume of developed markets including US and European markets....
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TL;DR: In this paper, the authors examined the impact of the introduction of call auction on the National Stock Exchange of India (NSE) and found that the auctions attract very little volume, the intraday pattern of volume and volatility in the continuous market remains unchanged and a large fraction of price discovery, measured by the Weighted Price Contribution, still takes place in the first 15min of continuous market.
7 citations