Abstract
This paper examines the empirical relationship between return, volume, and volatility in Indian stock market. GARCH (1, 1) and EGARCH (1, 1) are estimated for Nifty index. The empirical results indicate inefficiency and information asymmetry in the market. The persistence of variance over time partly declines if one includes trading volume as a proxy for information arrivals in the equation of conditional volatility. Causality test further supports the sequential arrival of information hypothesis, which implies that new information is not simultaneously available to all traders and it takes time to absorb, which hampers the price discovery efficiency of the market.
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