The present article examines the impact of rolling settlement on contemporaneous and causal relationships between return, volume and volatility in Indian stock market using daily data of closing prices and volume of NIFTY index of NSE and SENSEX of BSE from January 1997 to June 2007. The...

This paper examines the empirical relationship (contemporaneous and causal) between volume and return, and volume and volatility in the light of competing hypothesis about market structure by using daily data of Sensitive Index of the Bombay Stock Exchange. Consistent with mixture of...