The present study has undertaken a comprehensive investigation of co-movement in stock returns and volume change using daily National Stock Exchange data for twenty-one listed firms from 1996 to 2005. It is observed that the direction of causality between stock returns and volume change vary...

This paper examines the relationship between foreign institutional investment and stock returns in India during 2002-04. The Foreign Institutional Investment as a percentage of market capitalization and floating stock has been improving over the years. Using NSE Nifty and FII capital flows to...

The present study examines the Day-of-the-Week effect anomaly in the Indian equity market during the period of July 1997 to March 2006 using daily data of NSE Nifty and BSE Sensex. The Day-of-the-Week effect implies that the stocks return is not independent of the Day-of-the-Week in which they...

This paper is an attempt to predict stock returns using classical (AR) and intelligent (ANN) techniques. AR and ANN techniques are also used to test the efficient market hypotheses using long time-series of daily data of BSE Sensex for the period of January 1997 to September 2005. An attempt has...

This study is an attempt to model the volatility of stock returns in Indian market for the period 1997-2006 using GARCH, TARCH and E-GARCH. Results point out that returns exhibit persistence and volatility clustering in both NSE Nifty and BSE Sensex. Asymmetric volatility effect has been...