A contemporaneous relation between price and volume has been established by the present study which proves contrary to the Efficient Market Hypothesis. The methodology adopted for the study is that of Granger-Causality Test which investigates the dynamic relationship between price and volume between two time series. The study tests whether the knowledge of the behaviour of past volume improves conditional price forecasts over price forecast based on past price alone. The information could be considered to be either simultaneous or sequential. The result of the study supports the sequential information arrival hypothesis which states that knowledge of the behaviour of past volume improves the price forecasts. Of the twenty shares studied, 17 shares support the leading and lagging relation between price and volume.
D. Singh and Dr. P. Balasubramanian, “Price-Volume Relationship: Some Evidence from the Indian Stock Market”, Vision: The Journal of Business Perspective, vol. 4, pp. 17–28, 2000.