This paper analyzes the existence of a Granger causality relationship between stock prices and trading volume using minute by minute data (transformed from tick by tick data) of Nifty 50 companies traded at the National Stock Exchange, India for the period of one year from July 2014 to June 2015. Since the time series data taken is not integrated in of the same order, the Toda-Yamamoto methodology was applied to test for causality. The results show that 29 companies out 50 companies have two-way (bi-directional) causality between price and volume and 15 companies have one way (unidirectional) causal relationship where price causes volume and volume does not cause price and 6 other companies have no causal relationship in either way. The study suggests that the Efficient Markets Hypothesis does not hold true for these 29 companies during the period of this study.
A. P, Kumar, V. Suresh, Dr. P. Balasubramanian, and Vijay Krishna Menon, “Measuring stock price and trading volume causality among Nifty 50 stocks:The Toda Yamamoto Method”, in International Conference on Advances in Computing, Communications and Informatics, ICACCI, Jaipur, Rajasthan, 2016.