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The Stock Return-Volume Relation: Evidences from Indian it Industry

In this paper we have attempted to analyse the relation between stock returns and trading volume, using daily data of some Indian IT sector stocks. We have checked for both, the contemporaneous and causal relationship between stock returns and trading volume. We found an asymmetric V-shaped contemporaneous relationship between returns and volume and a causal relationship between absolute returns and trading volume (Absolute return Granger causes volume). We also found that lagged volume as significant predictive power for current absolute return and vice-versa.