The Behaviour of Trading Volume : Evidence from Money Market Instruments

Authors

  •   Muhammadriyaj Faniband Research Assistant, Department of Commerce, CHRIST (Deemed to be University), Bengaluru - 560 029

DOI:

https://doi.org/10.17010/ijf/2020/v14i8-9/154949

Keywords:

macroeconomic factors

, non-macroeconomic factors, trading volume, commercial papers, certificate of deposits, quantile regression, India

JEL Classification

, C31, F16, G11, G12

Paper Submission Date

, October 15, 2019, Paper sent back for Revision, August 24, 2020, Paper Acceptance Date, August 30, 2020

Abstract

This paper analyzed the impact of macro and non-macroeconomic factors on the trading volume of the certificate of deposits and commercial paper with regard to India during the monthly period from April 2012 – March 2018 using the quantile regression approach. The results revealed that gross domestic product rate, Consumer Price Index, Economic Policy Uncertainty Index, the Volatility Index, and the Nifty index had a negligible impact on the trading volume of corporate bonds. However, interest rates and exchange rates did not influence the trading volume of corporate bonds. In the other context, gross domestic product rate, Consumer Price Index, interest rates, the Volatility Index, and movements in the Nifty index showed a negligible impact on the trading volume of commercial paper. However, the variations in the trading volume of commercial papers were not explained by exchange rates and Economic Policy Uncertainty Index.

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Published

2020-09-01

How to Cite

Faniband, M. (2020). The Behaviour of Trading Volume : Evidence from Money Market Instruments. Indian Journal of Finance, 14(8-9), 69–79. https://doi.org/10.17010/ijf/2020/v14i8-9/154949

Issue

Volume 14, Issue 8-9, August-September 2020

Section

Articles
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Scopus
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Europe PMC

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