Understanding price-volume dynamics: An analysis of healthcare and consumer durables sectors of nifty 50 index
Dr. Sanjeet Sharma and Meenakshi Jaswal
The present study aims to examine the interplay between trading volume and stock returns within the Indian stock market context. Over a span of ten years, from January 1, 2014, to December 31, 2023, daily closing prices and volume data were analyzed for two sectors of the Nifty 50 Index: Healthcare and Consumer Durables. Stationarity of the data was assessed using the Augmented Dickey Fuller (ADF) and Phillips-Perron (PP) tests. Furthermore, the study employed Vector Auto regression (VAR) modeling and Granger Causality tests to delve into the contemporaneous relationship between stock returns and trading volume. The findings suggest a unidirectional causation from past stock returns to trading volume.
Dr. Sanjeet Sharma, Meenakshi Jaswal. Understanding price-volume dynamics: An analysis of healthcare and consumer durables sectors of nifty 50 index. Int J Res Finance Manage 2024;7(1):337-342. DOI: 10.33545/26175754.2024.v7.i1d.314