Modelling Conditional Volatility in Stock Returns and Trading Volume of Indian Stock Market

Abstract

The role of information releases in asset pricing has created enormous interest among researchers, academics and practitioners. The general perspective of the market is that higher the level of trading volume, the greater the movement in share prices and vice-versa. But, this may not hold true every time. Lower trading volume may also induce the larger jumps in prices. The study aimed at modelling conditional volatility in stock returns and trading volume of 30 stocks of SandP BSE Sensex by using two asymmetric volatility models EGARCH and TGARCH with and without trading volume effects.