This paper is an attempt to study the dynamic relation between futures volume and returns of stocks in Indian context using granger causality with the intent to find out if past movement in volumes in future market improves the return of stocks in spot market. The motivation of this study is the...

The growing interest in financial markets microstructure and the fact that financial professionals have access to huge intraday databases have made high-frequency data modelling a hot issue in recent empirical finance literature. We analyse the main issues that are at stake when analysing...