DO TRADING VOLUME AND BID-ASK SPREAD CONTAIN INFORMATION TO PREDICT STOCK RETURNS? INTRADAY EVIDENCE FROM INDIA
Journal Title: Asian Economic and Financial Review - Year 2016, Vol 6, Issue 3
Abstract
Relying on the mixture of distribution hypothesis (MDH) and the sequential information arrival hypothesis (SIAH), this paper empirically examines the relationship between stock returns, trading volume and bid-ask spread for 50 Indian stocks using high frequency 5-minute data set for the period July 2, 2012 to December 31, 2012. This is the first study in India using bid-ask spread as yet another measure of information flow variable along with trading volume. Our empirical findings provide evidence of a positive contemporaneous relationship between absolute returns and trading volume as well as between absolute returns and bid-ask spread. The Granger causality test results show that the information content of trading volume and bid-ask spread are useful for predicting stock returns in Indian stock market. Overall results seem to indicate that information arrival to investors tends to follow a sequential rather than simultaneous process as suggested by SIAH. In summary, both trading volume and bid-ask spread serve as a good measure of information variable in India.
Authors and Affiliations
Rashmi Ranjan Paital*| Research Scholar, School of Economics, University of Hyderabad, Hyderabad, India, Naresh Kumar Sharma| School of Economics, University of Hyderabad, Hyderabad, India
Keywords
Related Articles
- EP ID EP2256
- DOI -
- Views 478
- Downloads 38
TOWARD A STRONG CHINESE ECONOMY
How to keep Chinese economy’s high growth rate in a long run toward the fully modernized era of China is the major topic of this paper. This letter will develop some theories as a guidance of Chinese economic reforms and...
MODERATING EFFECT ON THE RELATIONSHIP BETWEEN A COMPANIES’S LIFE CYCLE AND THE RELEVANCE OF ACCOUNTING PRACTICES INTANGIBLE ASSETS
The main objective of this study was to investigate the relationship between the company and the value relevance of intangible assets during the life cycle before and after the implementation of the accounting standard N...
AN EMPIRICAL ANALYSIS OF EFFECTIVE CUSTOMERS SERVICE ON NIGERIA BANKS PROFITABILITY. (A QUEUING AND REGRESSION APPROACH)
This study investigates the impact of various elements of customer services adopted by some Nigerians banks to improve bank profitability in the Nigerian banking industry. It examines the mean profit and how each of the...
MONEY DEMAND SENSITIVITY TO INTEREST RATES: THE CASE OF JAPAN’S ZERO-INTEREST RATE POLICY
The goal of this paper is to provide new evidence on how the zero-interest rate policy implemented by the Bank of Japan has affected the sensitivity of money demand with respect to the opportunity cost of holding money....
SOCIAL NETWORKING A SOURCE FOR DEVELOPING ENTREPRENEURIAL INTENTIONS AMONG ENTREPRENEURS: A CASE OF MULTAN
The present research aims at measuring how social networking is a source of developing entrepreneurial intentions among entrepreneurs. The study was designed with the intent to find the components of social networking wh...