"A Study On Return & Trading Volume Linkage Between Selected

Stocks Within BSE"

By
Shashi kumar.C
Lecturer East point college of higher education, Bangalore
&
John Pradeep Kumar
Asst.prof. Cambridge Institute of technology, Bangalore
Abstract:
This study examines the relationship between trading volume and stock returns. The sample
of the study consists of 6 stocks traded at the Bombay Stock Exchange (BSE) from
2009-2011. This study follows the conventional methodology used for calculating returns and
correlation co efficient. The study revealed that stock returns are positively related to
the change in trading volume. Further, in case of Hero Moto corp it was found that past trading
volume change is negatively related to stock returns and Investor misspecification about future
earnings or illiquidity of low volume stocks can be the reason for the negative relationship between
trading volume and stock returns.

Key words: Trading volume, stock returns, Bombay Stock Exchange

1.1 Introduction
As a primary risk factor, the volatility characteristics of stock returns have been one of the
key topics examined in finance literature. Numerous studies on this subject have found significant
support in favor of the existence of conditional variance in stock returns. The fluctuation in trading
activity is not only explained by publicly available information but also by non-information trade
due to events, short selling, and insider traders. These factors are exogenous to the general price
behaviour in stock market (Campbell, Grossman and Wang 1993). However, these fluctuation
creates the similar effect to those produced by a change in the risk aversion of significant proportion
of market participants (Ali, 1997). The academic literature provides the association between trading
volume and stock return volatility. It is also found that high stock volume is linked with volatility
and positive relation between stock returns and volume. Morse (1980) found that the serial
correlation of returns in high volume and high volume periods tend to have positively
autocorrelated returns. Le Baron (1992a) and Sentana and Wadhwani (1992) showed that
autocorrelation of daily stock returns change with the variance of returns. Duffee (1992) established
the relation between serial correlation and trading volume in aggregate monthly data. Campbell,
Grossman and Wang (1993) examined the relationship between aggregate stock market trading
volume and the serial correlation of daily stock return. They found that a stock price decline on high
volume day is more likely than a stock price decline on low volume day to be associated with an
increase in the expected stock return. Omran and Mckenzie (2000) investigated the relation between
volume of trade and conditional variance of trade and found the significant relation between timing
of innovational outliers in returns and volume.

This paper aims to contribute to the literature by investigating the relationship between trading
volume and stock return volatility in Bombay Stock Exchange (BSE) by utilizing a relatively more
recent database and extensive dataset including individual stocks instead of a general index which
has been primarily used in previous studies.

1.2: Return: Retuns can be defined as total income the investor receives during the holding period
as a percentage of the purchasing price at the beginning of the holding period. Retuns stated semi-
annually or annually to help comparision among the different investment alternatives.
1.3: Main criteria: The main criteria of selection of scrips to be included for the study are market
capitalisation, liquidty and proper representation of all the industries in the economy.

1.4: Formulaes used to calculate return:

Return: Return is the dividend or coupon rate plus capital appreciation, if any. The
difference between the purchase price and the sale price is capital appreciation and the yield is the
interest or dividend divided by its purchase price.Return or yield differs from the nature of the
instruments, maturity period and the creditor or debtor nature of the instrument and a host of other
factors.

Retuns = End period value – Beginning period value+Divided X 100

Beginning period value

Correlation: "Correlation is a statistical tool which studies the relationship between two varialbes.
Correlation analysis contributes to the understanding of economic behaviour, aids in locating the
critically important variables on which others depend, may reveal to the economist the connections
by which the disturbances spread and suggest to him the paths through which stabilising forces may
become effective."

Correlation (r) = ∑ dx*dy

√dx²*√dy²

2 Reseach Methodology:

2.1 Type of research:

2.2 Objective :
a) Primary objective
To study and analysis the linkage between trading volume and stock returns of
selected stocks listed in BSE.

2.3 Research design:

The research used ex-post-facto type of research design in the study.

2.4 Data sources:

The researcher used secondary data collection method in the study and for this purpose
ample data was collected from websites of www.bseindia.com . The researcher collected stock
prices of selected stocks for a period of three years i.e., January 2009 – December 2011.

2.5 Scope of study:

The study is restricted only to automobile, Information technology and pharmaceuticals
sectors. With special reference to Maruthi, Hero Motor company, TCS, Ranbaxy, and Biocon.

2.6 Sampling Techniques:

The researcher used convinent type of sampling method in the study. The samples are
collected from Bombay Stock Exchange on the basis of their market capitalisation.

2.7 Tools used for study:

The researcher used the following tools.
i) Return
ii) Statistical tools: Correlation co efficient.
2.8 Limitations of the study:
The study is restricted only to selected few companies under three different sectors from
BSE. Sample size is restricted to six due to time constraint.
DATA ANALYSIS AND INTERPRETATION

Table No. 1: Indicating Month Wise Returns On TCS Ltd Scrip:

Returns (%) Returns (%) Returns (%)

Year Year Year
of TCS of TCS of TCS
Jan-09 7.08 Jan-10 -1.91 Jan-11 -0.68
Feb-09 -6.12 Feb-10 3.47 Feb-11 -3.82
Mar-09 12.36 Mar-10 2.60 Mar-11 6.25
Apr-09 15.41 Apr-10 -1.90 Apr-11 -1.60
May-09 12.28 May-10 -3.13 May-11 -0.41
Jun-09 -44.31 Jun-10 1.23 Jun-11 1.86
Jul-09 35.08 Jul-10 11.97 Jul-11 -3.89
Aug-09 0.11 Aug-10 0.33 Aug-11 -8.27
Sep-09 17.52 Sep-10 9.33 Sep-11 -0.30
Oct-09 1.11 Oct-10 14.01 Oct-11 7.39
Nov-09 9.74 Nov-10 2.37 Nov-11 -0.10
Dec-09 9.10 Dec-10 8.21 Dec-11 4.33
Sum % 69.36 Sum % 46.58 Sum % 0.76
Avg % 5.78 Avg % 3.88 Avg % 0.06

Graph No.1: Consolidated Graph Indicating Year Wise Returns Of TCS Ltd For The Period
From 2009 To 2011:

Inference:
The average returns of TCS Ltd has seen a consistent decline over a period of 3 years . in
2009 it was at 5.78% which then declined to 3.88% and then to 0.06% in 2011.

Table No. 2 : Indicating Month Wise Returns On Tech Mahindra Ltd Scrip:
 Returns (%) of Returns (%) of Returns (%) of
Year Year Year
Tech Mahindra Tech Mahindra Tech Mahindra
Jan-09 -3.88 Jan-10 -2.03 Jan-11 -7.52
Feb-09 4.39 Feb-10 -7.93 Feb-11 -0.75
Mar-09 6.70 Mar-10 -4.47 Mar-11 4.83
Apr-09 23.68 Apr-10 -9.36 Apr-11 1.51
May-09 44.40 May-10 -17.74 May-11 -1.02
Jun-09 54.66 Jun-10 15.47 Jun-11 6.24
Jul-09 15.82 Jul-10 -4.76 Jul-11 7.39
Aug-09 11.81 Aug-10 -8.84 Aug-11 -16.35
Sep-09 -1.22 Sep-10 18.56 Sep-11 -11.49
Oct-09 -0.73 Oct-10 -3.72 Oct-11 1.99
Nov-09 -0.17 Nov-10 -12.06 Nov-11 -3.27
Dec-09 6.69 Dec-10 9.69 Dec-11 1.23
Sum % 162.16 Sum % -27.21 Sum % -17.22
Avg % 13.51 Avg % -2.27 Avg % -1.43

Graph No.2: Consolidated Graph Indicating Year Wise Returns of Tech Mahindra Ltd For
The Period of 2009 To 2011:

Inference

Over the period of 3 years the returns on Tech Mahindra Ltd scrip has consistently reduced
only in the year 2009 it is positive at 13.5% but during 2010 and 2011 it has reduced to negative and
stood at -2.27% and -1.43 % respectively.

Table No.3: Indicating Month Wise Returns On Maruthi Udyog Ltd Scrip:
 Returns in % Returns in % Returns in %
Year Year Year
Maruthi Udyog Ltd Maruthi Udyog Ltd Maruthi Udyog Ltd
Jan-09 9.79 Jan-10 -10.87 Jan-11 -11.81
Feb-09 18.67 Feb-10 5.28 Feb-11 -3.68
Mar-09 14.39 Mar-10 -3.24 Mar-11 4.71
Apr-09 5.24 Apr-10 -9.63 Apr-11 4.45
May-09 25.24 May-10 -3.34 May-11 -6.99
Jun-09 4.30 Jun-10 15.09 Jun-11 -5.63
Jul-09 32.64 Jul-10 -15.84 Jul-11 4.27
Aug-09 1.66 Aug-10 4.82 Aug-11 -9.57
Sep-09 18.25 Sep-10 14.73 Sep-11 -1.00
Oct-09 -17.42 Oct-10 7.65 Oct-11 4.09
Nov-09 11.31 Nov-10 -8.22 Nov-11 -13.95
Dec-09 -0.13 Dec-10 -0.22 Dec-11 -5.02
Sum % 123.93 Sum % -3.78 Sum % -40.12
Avg % 10.33 Avg % -0.32 Avg % -3.34

Graph No. 3: Consolidated Graph Indicating Year Wise Returns of Maruthi Udyog Ltd For
The Period
From 2009 To 2011:

Inference:
The returns on Maruthi Udyog ltd had been in a declining trend and has gone to negative
region. Only in 2009 the scrip yielded 10.33% but in 2010 and 2011 it had negative returns of -0.32
and -3.34% respectively.

Table No.4: Indicating Month Wise Returns On Hero Motor Corp Scrip:

Month Returns (%) Month Returns (%) Month Returns (%)

 of Hero of Hero of Hero
Motor Corp Motor Corp Motor Corp
Jan-09 8.92 Jan-10 -9.19 Jan-11 -17.90
Feb-09 5.66 Feb-10 13.69 Feb-11 -10.15
Mar-09 15.50 Mar-10 9.62 Mar-11 8.30
Apr-09 10.66 Apr-10 -1.94 Apr-11 7.76
May-09 13.23 May-10 1.72 May-11 8.39
Jun-09 4.25 Jun-10 5.63 Jun-11 1.33
Jul-09 14.85 Jul-10 -11.31 Jul-11 -4.82
Aug-09 -5.86 Aug-10 -1.30 Aug-11 14.58
Sep-09 10.47 Sep-10 3.35 Sep-11 -5.18
Oct-09 -6.22 Oct-10 0.75 Oct-11 12.04
Nov-09 9.91 Nov-10 5.77 Nov-11 -7.93
Dec-09 -0.26 Dec-10 0.64 Dec-11 -4.89
Sum % 81.11 Sum % 17.44 Sum % 1.53
Avg % 6.76 Avg % 1.45 Avg % 0.13

Graph No. 4: Consolidated Graph Indicating Year Wise Returns of Hero Moto Corp For The
Period From 2009 To 2011:

Inference:
Average returns on Hero Moto Corp had been in positive but it had steadily declined and at
the end of 2011 the returns where at 0.13%. the highest returns was in the year 2009 at 6.76%.

Table No.5: Indicating Month Wise Returns On BIOCON Ltd Scrip:

Month Returns in % Month Returns in % Month Returns in %

 BioCon Ltd BioCon Ltd BioCon Ltd
Jan-09 -12.91 Jan-10 -2.55 Jan-11 -17.04
Feb-09 0.00 Feb-10 -2.36 Feb-11 -11.12
Mar-09 42.36 Mar-10 8.16 Mar-11 10.59
Apr-09 -1.80 Apr-10 6.12 Apr-11 7.09
May-09 27.91 May-10 -2.30 May-11 -4.19
Jun-09 20.66 Jun-10 10.38 Jun-11 0.51
Jul-09 -0.34 Jul-10 -4.93 Jul-11 2.28
Aug-09 9.12 Aug-10 9.57 Aug-11 -8.77
Sep-09 8.69 Sep-10 5.78 Sep-11 1.80
Oct-09 -4.71 Oct-10 14.85 Oct-11 4.26
Nov-09 5.45 Nov-10 -5.16 Nov-11 -9.31
Dec-09 6.23 Dec-10 7.99 Dec-11 -14.08
Sum % 100.66 Sum % 45.54 Sum % -37.96
Avg % 8.39 Avg % 3.80 Avg % -3.16

Graph No.5: Consolidated Graph Indicating Year Wise Returns on BIOCON Ltd For The
Period From 2009 To 2011:

Inference:
Average returns of BioCon Ltd is showing a declining trend over the past 3 years. During
2009 it was at 8.39% and it has declined to -3.16% in 2011.

Table No.6: Indicating Month Wise Returns On Ranbaxy Ltd Scrip:

 Returns (%) Returns (%) Returns (%)
Month of Ranbaxy Month of Ranbaxy Month of Ranbaxy
Ltd Ltd Ltd
Jan-09 -14.54 Jan-10 -12.43 Jan-11 -8.90
Feb-09 -24.99 Feb-10 3.07 Feb-11 -20.45
Mar-09 2.35 Mar-10 1.68 Mar-11 2.35
Apr-09 0.21 Apr-10 -6.70 Apr-11 2.74
May-09 68.00 May-10 -2.99 May-11 20.32
Jun-09 -12.11 Jun-10 7.15 Jun-11 -1.56
Jul-09 14.30 Jul-10 -2.45 Jul-11 -0.25
Aug-09 16.96 Aug-10 9.11 Aug-11 -12.22
Sep-09 23.03 Sep-10 13.65 Sep-11 8.61
Oct-09 -3.11 Oct-10 4.06 Oct-11 -2.49
Nov-09 16.63 Nov-10 -1.43 Nov-11 -13.23
Dec-09 13.61 Dec-10 4.76 Dec-11 -6.80
Sum % 100.35 Sum % 17.48 Sum % -31.87
Avg % 8.36 Avg % 1.46 Avg % -2.66

Graph No.6: Consolidated Graph Indicating Year Wise Returns of Ranbaxy Ltd For
The Period From 2009 To 2011:

Inference:
During the past 3 years the returns on Ranbaxy Ltd has declined to negative of -2.66% in in
2009 and 2010 it stayed in positive at 8.36% and 1.46%.

Table No.7: Indicating Correlation Coefficient For TCS Ltd Scrip:

Year X Y DX DY DX2 DY2 DX x DY

 Jan-09 7.08 7870.045 3.84 1723.413167 14.74643532 2970152.943 6618.094005
Feb-09 -6.12 4065.255 -9.36 -2081.376833 87.67784557 4332129.522 19489.27354
Mar-09 12.36 5043.939 9.12 -1102.692833 83.16620245 1215931.485 -10056.06305
Apr-09 15.41 6718.394 12.17 571.7621667 148.045803 326911.9752 6956.863222
May-09 12.28 7272.937 9.04 1126.305167 81.78265171 1268563.328 10185.60125
Jun-09 -44.31 9524.223 -47.55 3377.591167 2260.877129 11408122.09 -160600.0072
Jul-09 35.08 19098.752 31.84 12952.12017 1013.675139 167757416.8 412373.0385
Aug-09 0.11 12847.919 -3.13 6701.287167 9.771990019 44907249.69 -20948.34589
Sep-09 17.52 12155.061 14.28 6008.429167 204.0246332 36101221.05 85822.71484
Oct-09 1.11 11336.495 -2.13 5189.863167 4.55396358 26934679.69 -11075.17722
Nov-09 9.74 7145.393 6.50 998.7611667 42.26685892 997523.868 6493.242687
Dec-09 9.10 5383.776 5.86 -762.8558333 34.36484562 581949.0225 -4471.978121
Jan-10 -1.91 8441.864 -5.15 2295.232167 26.49472235 5268090.699 -11814.25412
Feb-10 3.47 3454.091 0.23 -2692.540833 0.054785721 7249776.139 -630.2255274
Mar-10 2.60 5917.109 -0.64 -229.5228333 0.407248588 52680.73102 146.4723637
Apr-10 -1.90 6482.257 -5.14 335.6251667 26.37327606 112644.2525 -1723.600292
May-10 -3.13 4366.667 -6.37 -1779.964833 40.61715907 3168274.808 11343.99938
Jun-10 1.23 3263.975 -2.01 -2882.656833 4.027432317 8309710.419 5785.049377
Jul-10 11.97 7957.621 8.73 1810.989167 76.29973078 3279681.762 15818.93914
Aug-10 0.33 4656.158 -2.91 -1490.473833 8.48584399 2221512.248 4341.820627
Sep-10 9.33 6040.462 6.09 -106.1698333 37.04307286 11272.03351 -646.1816762
Oct-10 14.01 6164.277 10.77 17.64516667 115.9946395 311.3519067 190.0398699
Nov-10 2.37 2676.651 -0.87 -3469.980833 0.761482729 12040766.98 3028.008603
Dec-10 8.21 3272.889 4.97 -2873.742833 24.6574645 8258397.872 -14269.93877
Jan-11 -0.68 3987.73 -3.92 -2158.901833 15.35137036 4660857.126 8458.755462
Feb-11 -3.82 3916.85 -7.06 -2229.781833 49.83978072 4971927.024 15741.6566
Mar-11 6.25 4325.66 3.01 -1820.971833 9.055029727 3315938.418 -5479.591312
Apr-11 -1.60 6222.585 -4.84 75.95316667 23.40923077 5768.883527 -367.4848647
May-11 -0.41 2855.679 -3.65 -3290.952833 13.34085042 10830370.55 12020.24765
Jun-11 1.86 2845.829 -1.38 -3300.802833 1.905276594 10895299.34 4556.156146
Jul-11 -3.89 3212.45 -7.13 -2934.181833 50.81803702 8609423.031 20916.83481
Aug-11 -8.27 6350.253 -11.51 203.6211667 132.5429815 41461.57951 -2344.235775
Sep-11 -0.30 4802.182 -3.54 -1344.449833 12.51677218 1807545.354 4756.535861
Oct-11 7.39 5402.851 4.15 -743.7808333 17.24550768 553209.928 -3088.751538
Nov-11 -0.10 2998.121 -3.34 -3148.510833 11.14708825 9913120.468 10512.01354
Dec-11 4.33 3202.346 1.09 -2944.285833 1.178868035 8668819.068 -3196.778645
SUM % 116.71 221278.746 4684.521149 413048711.6 414842.7435
AVG % 3.24 6146.631833 68.44356178 20323.59987 0.30

Note:
X: indicates month wise returns of TCS Ltd.
Y: indicates month wise trading volume of TCS Ltd.
DX: indicates deviation of monthly returns from average returns of TCS Ltd.
DY: deviation of monthly trading volume from average trading volume of TCS Ltd.
Table No.8: Indicating Correlation Coefficient For Tech Mahindra Ltd Scrip:

Year X Y DX DY DX2 DY2 DX*DY

Jan-09 -3.88 1656.00 -7.15 -1736.40 51.08 3015082.26 12409.65
Feb-09 4.39 2108.16 1.12 -1284.24 1.25 1649270.38 -1437.71
 Mar-09 6.70 1764.34 3.43 -1628.06 11.76 2650589.86 -5584.04
Apr-09 23.68 10253.06 20.41 6860.65 416.75 47068556.54 140055.93
May-09 44.40 8103.72 41.13 4711.31 1691.40 22196477.51 193760.69
Jun-09 54.66 24819.68 51.39 21427.27 2641.06 459128104.40 1101174.76
Jul-09 15.82 14475.85 12.55 11083.44 157.61 122842703.81 139145.45
Aug-09 11.81 8862.39 8.54 5469.99 72.86 29920744.41 46689.78
Sep-09 -1.22 5922.65 -4.49 2530.24 20.19 6402128.51 -11369.35
Oct-09 -0.73 2581.09 -4.00 -811.31 16.01 658225.90 3246.47
Nov-09 -0.17 4088.09 -3.44 695.68 11.81 483973.14 -2391.06
Dec-09 6.69 1390.73 3.42 -2001.67 11.72 4006691.69 -6852.96
Jan-10 -2.03 2412.59 -5.30 -979.81 28.14 960033.95 5197.37
Feb-10 -7.93 953.70 -11.20 -2438.71 125.55 5947297.79 27325.23
Mar-10 -4.47 1801.45 -7.74 -1590.95 59.93 2531132.16 12316.78
Apr-10 -9.36 6450.10 -12.63 3057.69 159.56 9349485.12 -38624.12
May-10 -17.74 1359.23 -21.01 -2033.18 441.51 4133805.55 42721.22
Jun-10 15.47 2773.59 12.20 -618.82 148.86 382934.75 -7550.01
Jul-10 -4.76 1960.81 -8.03 -1431.60 64.54 2049470.61 11500.79
Aug-10 -8.84 1078.95 -12.11 -2313.46 146.62 5352079.69 28012.65
Sep-10 18.56 4586.65 15.29 1194.25 233.76 1426234.92 18259.04
Oct-10 -3.72 1317.16 -6.99 -2075.24 48.89 4306617.83 14510.39
Nov-10 -12.06 596.64 -15.33 -2795.77 235.14 7816314.36 42871.21
Dec-10 9.69 869.97 6.42 -2522.43 41.21 6362654.23 -16193.19
Jan-11 -7.52 887.91 -10.79 -2504.50 116.37 6272496.32 27017.04
Feb-11 -0.75 879.37 -4.02 -2513.03 16.20 6315325.92 10114.06
Mar-11 4.83 1825.18 1.56 -1567.22 2.44 2456188.63 -2447.02
Apr-11 1.51 928.56 -1.76 -2463.84 3.10 6070513.57 4339.13
May-11 -1.02 596.05 -4.29 -2796.35 18.41 7819596.94 11998.23
Jun-11 6.24 688.34 2.97 -2704.07 8.84 7311984.95 -8041.04
Jul-11 7.39 753.82 4.12 -2638.58 16.95 6962116.14 -10864.54
Aug-11 -16.35 643.36 -19.62 -2749.04 385.10 7557227.64 53947.17
Sep-11 -11.49 1009.59 -14.76 -2382.82 217.82 5677808.38 35167.12
Oct-11 1.99 530.18 -1.28 -2862.22 1.65 8192304.60 3671.90
Nov-11 -3.27 690.87 -6.54 -2701.53 42.82 7298265.54 17678.38
Dec-11 1.23 506.71 -2.04 -2885.69 4.17 8327219.60 5892.85
Sum 117.73 122126.52 7671.08 830901657.60 1897668.24
Average 3.27 3392.40 87.58 28825.36 0.75

Note:
X: indicates month wise returns of Tech Mahindra Ltd scrip.
Y: indicates month wise trading volume of Tech Mahindra Ltd scrip.
DX: indicates deviation of monthly returns from average returns of Tech Mahindra Ltd
scrip.
DY: indicates deviation of monthly trading volume from average trading volume of
Tech Mahindra Ltd scrip.

Table No. 9: Indicating Correlation Coefficient For Maruthi Udyog Ltd Scrip:

Year X Y DX DY DX2 DY2 DX x DY

Jan-09 9.79 7572.372 7.57 4907.057 57.25313 24079206 37129.64
Feb-09 18.67 6294.357 16.45 3629.042 270.5697 13169944 59694.11
Mar-09 14.39 5350.856 12.17 2685.541 148.085 7212129 32680.4
 Apr-09 5.24 6266.873 3.02 3601.558 9.108528 12971218 10869.62
May-09 25.24 4584.37 23.02 1919.055 529.736 3682771 44168.95
Jun-09 4.30 3294.52 2.08 629.2048 4.315554 395898.7 1307.104
Jul-09 32.64 1804.025 30.42 -861.29 925.5884 741820.8 -26203.4
Aug-09 1.66 3161.281 -0.56 495.9658 0.318369 245982.1 -279.845
Sep-09 18.25 3587.152 16.03 921.8368 257.0979 849783 14780.98
Oct-09 -17.42 3684.484 -19.64 1019.169 385.6177 1038705 -20013.6
Nov-09 11.31 3455.347 9.09 790.0318 82.65493 624150.2 7182.554
Dec-09 -0.13 2903.143 -2.35 237.8278 5.528457 56562.05 -559.197
Jan-10 -10.87 2201.54 -13.09 -463.775 171.375 215087.5 6071.295
Feb-10 5.28 3698.467 3.06 1033.152 9.386825 1067403 3165.363
Mar-10 -3.24 2293.026 -5.46 -372.289 29.79741 138599.3 2032.215
Apr-10 -9.63 2253.337 -11.85 -411.978 140.4639 169726.1 4882.662
May-10 -3.34 2695.707 -5.56 30.39178 30.96258 923.6602 -169.112
Jun-10 15.09 1557.448 12.87 -1107.87 165.6249 1227370 -14257.7
Jul-10 -15.84 2368.328 -18.06 -296.987 326.0412 88201.41 5362.583
Aug-10 4.82 4168.068 2.60 1502.753 6.75964 2258266 3907.053
Sep-10 14.73 1842.089 12.51 -823.226 156.6115 677701.4 -10302.2
Oct-10 7.65 2143.198 5.43 -522.117 29.49796 272606.4 -2835.72
Nov-10 -8.22 1439.468 -10.44 -1225.85 108.9147 1502701 12793.21
Dec-10 -0.22 765.687 -2.44 -1899.63 5.959685 3608587 4637.461
Jan-11 -11.81 823.305 -14.03 -1842.01 196.8945 3393002 25846.92
Feb-11 -3.68 917.296 -5.90 -1748.02 34.80714 3055571 10312.89
Mar-11 4.71 749.252 2.49 -1916.06 6.206057 3671298 -4773.29
Apr-11 4.45 1899.252 2.23 -766.063 4.96303 586852.9 -1706.62
May-11 -6.99 1213.479 -9.21 -1451.84 84.82337 2107828 13371.35
Jun-11 -5.63 785.478 -7.85 -1879.84 61.54802 3533788 14747.8
Jul-11 4.27 1630.072 2.05 -1035.24 4.196905 1071729 -2120.84
Aug-11 -9.57 943.003 -11.79 -1722.31 138.9143 2966359 20299.5
Sep-11 -1.00 1947.311 -3.22 -718.004 10.38403 515530.1 2313.715
Oct-11 4.09 1877.458 1.87 -787.857 3.504077 620719 -1474.8
Nov-11 -13.95 2245.52 -16.17 -419.795 261.388 176228 6787.038
Dec-11 -5.02 1534.779 -7.24 -1130.54 52.3784 1278112 8182.021
SUM % 80.03 95951.35 4717.277 99272362 267830
AVG % 2.22 2665.315 68.68243 9963.552 0.39
Note:
X: indicates month wise returns of Maruthi Udyog Ltd Scrip
Y: indicates month wise trading volume of Maruthi Udyog Ltd Scrip
DX: indicates deviation of monthly returns from average returns of Maruthi Udyog Ltd Scrip.
DY: deviation of monthly trading volume from average trading volume of Maruthi Udyog Ltd
Scrip.
Table No. 10: Indicating Coefficient Of Correlation For Hero Motor Corp Scrip:

Year X Y DX DY DX2 DY2 DX*DY

Jan-09 8.92 1005.52 6.14 -549.84 37.75 302326.19 -3378.36
Feb-09 5.66 2139.00 2.88 583.64 8.27 340629.85 1678.45
Mar-09 15.50 1557.19 12.72 1.83 161.75 3.33 23.22
Apr-09 10.66 2415.24 7.88 859.87 62.13 739383.34 6777.48
May-09 13.23 1266.62 10.45 -288.75 109.15 83375.39 -3016.74
 Jun-09 4.25 1061.33 1.47 -494.04 2.15 244071.54 -724.77
Jul-09 14.85 1577.52 12.07 22.16 145.80 490.89 267.53
Aug-09 -5.86 1831.49 -8.64 276.12 74.72 76244.48 -2386.91
Sep-09 10.47 1308.28 7.69 -247.08 59.20 61050.49 -1901.06
Oct-09 -6.22 925.92 -9.00 -629.45 81.00 396206.01 5665.03
Nov-09 9.91 1201.17 7.13 -354.20 50.77 125454.79 -2523.78
Dec-09 -0.26 1863.15 -3.04 307.79 9.23 94734.09 -935.28
Jan-10 -9.19 2289.42 -11.97 734.05 143.30 538835.32 -8787.06
Feb-10 13.69 825.01 10.91 -730.36 119.12 533421.31 -7971.11
Mar-10 9.62 1458.37 6.84 -97.00 46.72 9408.22 -663.00
Apr-10 -1.94 2738.32 -4.72 1182.96 22.24 1399389.70 -5578.49
May-10 1.72 1293.06 -1.06 -262.30 1.11 68803.90 276.90
Jun-10 5.63 1051.69 2.85 -503.68 8.12 253692.51 -1435.48
Jul-10 -11.31 1485.03 -14.09 -70.33 198.53 4946.73 990.98
Aug-10 -1.30 1515.57 -4.08 -39.79 16.65 1583.24 162.35
Sep-10 3.35 1378.62 0.57 -176.74 0.33 31237.72 -101.46
Oct-10 0.75 866.83 -2.03 -688.54 4.12 474083.16 1397.41
Nov-10 5.77 910.58 2.99 -644.79 8.92 415748.95 -1925.88
Dec-10 0.64 5665.86 -2.14 4110.50 4.56 16896177.59 -8782.30
Jan-11 -17.90 1043.60 -20.68 -511.76 427.85 261902.36 10585.61
Feb-11 -10.15 2210.21 -12.93 654.84 167.27 428819.39 -8469.37
Mar-11 8.30 1908.74 5.52 353.37 30.48 124871.79 1950.79
Apr-11 7.76 1727.01 4.98 171.65 24.79 29462.70 854.61
May-11 8.39 1895.61 5.61 340.25 31.51 115766.68 1909.94
Jun-11 1.33 1171.55 -1.45 -383.82 2.11 147316.24 557.55
Jul-11 -4.82 1087.68 -7.60 -467.69 57.80 218732.97 3555.55
Aug-11 14.58 930.39 11.80 -624.98 139.34 390598.72 -7377.35
Sep-11 -5.18 1372.32 -7.96 -183.04 63.30 33505.46 1456.36
Oct-11 12.04 1123.52 9.26 -431.85 85.79 186491.81 -3999.99
Nov-11 -7.93 1002.30 -10.71 -553.06 114.62 305879.76 5921.27
Dec-11 -4.89 889.43 -7.67 -665.93 58.86 443468.06 5109.15
SUM 100.08 55993.10 2579.38 25778114.67 -20818.20
Avg 2.78 1555.36 50.79 5077.22 -0.08

Note:
X: indicates month wise returns of Hero Motor Corp Scrip
Y: indicates month wise trading volume of Hero Motor Corp Scrip
DX: indicates deviation of monthly returns from average returns of Hero Motor Corp Scrip.
DY: deviation of monthly trading volume from average trading volume of Hero Motor Corp
Scrip

Table No. 11: Indicating Coefficient Of Correlation For BIOCON Ltd Scrip:

SL.NO X Y DX DY DX2 DY2 DX x DY

Jan-09 -12.91 1733.173 -15.92 -1411.61 253.5392 1992641.537 22476.94
Feb-09 0.00 617.12 -3.01 -2527.66 9.0601 6389077.995 7608.264
Mar-09 42.36 2587.559 39.35 -557.224 1548.779 310498.0909 -21929.3
Apr-09 -1.80 2182.147 -4.81 -962.636 23.12944 926667.2128 4629.611
May-09 27.91 5908.224 24.90 2763.441 619.8595 7636608.617 68801.34
 Jun-09 20.66 13271.25 17.65 10126.47 311.5633 102545383.4 178743.9
Jul-09 -0.34 5532.718 -3.35 2387.935 11.23903 5702235.687 -8005.47
Aug-09 9.12 6282.826 6.11 3138.043 37.30747 9847316.659 19167.12
Sep-09 8.69 5800.617 5.68 2655.834 32.28513 7053456.596 15090.45
Oct-09 -4.71 4976.838 -7.72 1832.055 59.64711 3356427.152 -14149.2
Nov-09 5.45 2768.905 2.44 -375.878 5.968597 141283.9368 -918.296
Dec-09 6.23 5396.507 3.22 2251.724 10.35793 5070262.974 7246.891
Jan-10 -2.55 5503.49 -5.56 2358.707 30.93111 5563500.808 -13118.1
Feb-10 -2.36 2362.382 -5.37 -782.401 28.81975 612150.6293 4200.241
Mar-10 8.16 2951.625 5.15 -193.158 26.51216 37309.84127 -994.567
Apr-10 6.12 2758.856 3.11 -385.927 9.667244 148939.3063 -1199.93
May-10 -2.30 1238.294 -5.31 -1906.49 28.23043 3634698.612 10129.61
Jun-10 10.38 3205.943 7.37 61.16044 54.3157 3740.599965 450.7475
Jul-10 -4.93 2730.486 -7.94 -414.297 63.08157 171641.6359 3290.505
Aug-10 9.57 3411.255 6.56 266.4724 43.01327 71007.56365 1747.646
Sep-10 5.78 1760.668 2.77 -1384.11 7.68711 1915773.103 -3837.55
Oct-10 14.85 10732.52 11.84 7587.741 140.2208 57573820.23 89850.13
Nov-10 -5.16 1960.456 -8.17 -1184.33 66.75334 1402629.39 9676.27
Dec-10 7.99 2169.231 4.98 -975.552 24.78779 951700.8375 -4857.01
Jan-11 -17.04 2834.85 -20.05 -309.933 401.8485 96058.18899 6212.957
Feb-11 -11.12 1574.851 -14.13 -1569.93 199.5852 2464685.089 22179.15
Mar-11 10.59 1118.041 7.58 -2026.74 57.53003 4107681.333 -15372.5
Apr-11 7.09 1549.827 4.08 -1594.96 16.6795 2543883.224 -6513.89
May-11 -4.19 965.776 -7.20 -2179.01 51.9031 4748069.569 15698.39
Jun-11 0.51 1366.627 -2.50 -1778.16 6.249702 3161837.18 4445.283
Jul-11 2.28 1815.29 -0.73 -1329.49 0.527628 1767550.455 965.7169
Aug-11 -8.77 957.044 -11.78 -2187.74 138.6544 4786199.987 25760.97
Sep-11 1.80 740.909 -1.21 -2403.87 1.469955 5778608.071 2914.497
Oct-11 4.26 548.803 1.25 -2595.98 1.559482 6739109.853 -3241.84
Nov-11 -9.31 478.633 -12.32 -2666.15 151.7401 7108353.453 32842.39
Dec-11 -14.08 1418.425 -17.09 -1726.36 291.9728 2980310.41 29498.64
SUM % 108.24 113212.2 4474.504 266360808.8 459991.3
AVG % 3.01 3144.783 66.89173 16320.56399 0.42
Note:
X: indicates month wise returns of BIOCON Ltd Scrip
Y: indicates month wise trading volume of BIOCON Ltd Scrip
DX: indicates deviation of monthly returns from average returns of BIOCON Ltd Scrip.
DY: deviation of monthly trading volume from average trading volume of BIOCON Ltd
Scrip

Table No. 12: Indicating Coefficient Of Correlation For Ranbaxy Ltd Scrip:

Year X Y DX DY DX2 DY2 DX*DY

Jan-09 -14.54 8253.77 -16.93 1168.77 286.57 1366022.60 -19785.23
Feb-09 -24.99 18462.49 -27.38 11377.49 749.46 129447294.50 -311473.04
Mar-09 2.35 27839.30 -0.04 20754.30 0.00 430741038.82 -814.87
Apr-09 0.21 12764.91 -2.18 5679.91 4.74 32261430.94 -12362.27
May-09 68.00 21274.14 65.61 14189.14 4305.27 201331827.16 931014.62
Jun-09 -12.11 13993.49 -14.49 6908.49 210.06 47727285.13 -100126.82
Jul-09 14.30 10230.10 11.92 3145.10 141.98 9891664.67 37475.03
 Aug-09 16.96 12223.98 14.57 5138.98 212.30 26409091.74 74876.90
Sep-09 23.03 12025.20 20.64 4940.20 426.15 24405592.78 101982.04
Oct-09 -3.11 8970.74 -5.50 1885.74 30.27 3556029.28 -10374.60
Nov-09 16.63 7656.80 14.24 571.80 202.91 326953.75 8145.09
Dec-09 13.61 8823.99 11.23 1738.99 126.00 3024102.55 19520.34
Jan-10 -12.43 3980.39 -14.81 -3104.61 219.46 9638598.94 45992.19
Feb-10 3.07 9552.12 0.68 2467.12 0.46 6086689.46 1676.60
Mar-10 1.68 9507.88 -0.71 2422.88 0.50 5870350.86 -1713.17
Apr-10 -6.70 2334.43 -9.08 -4750.57 82.52 22567908.73 43154.11
May-10 -2.99 6502.72 -5.38 -582.27 28.92 339043.37 3131.55
Jun-10 7.15 3763.46 4.77 -3321.54 22.71 11032616.72 -15829.84
Jul-10 -2.45 2767.52 -4.84 -4317.48 23.44 18640644.82 20901.63
Aug-10 9.11 5179.51 6.73 -1905.49 45.24 3630874.25 -12816.94
Sep-10 13.65 5250.31 11.26 -1834.69 126.75 3366092.19 -20655.43
Oct-10 4.06 4445.67 1.67 -2639.33 2.78 6966075.02 -4403.77
Nov-10 -1.43 4946.27 -3.82 -2138.73 14.59 4574158.76 8168.86
Dec-10 4.76 2770.15 2.37 -4314.85 5.63 18617890.01 -10234.73
Jan-11 -8.90 1887.25 -11.28 -5197.75 127.30 27016618.63 58645.47
Feb-11 -20.45 3134.81 -22.84 -3950.19 521.70 15604019.25 90225.24
Mar-11 2.35 3085.52 -0.04 -3999.48 0.00 15995842.71 147.17
Apr-11 2.74 1683.06 0.35 -5401.94 0.12 29180915.85 -1881.70
May-11 20.32 6532.46 17.93 -552.54 321.56 305295.26 -9908.17
Jun-11 -1.56 1582.23 -3.95 -5502.77 15.57 30280514.05 21711.20
Jul-11 -0.25 1500.79 -2.64 -5584.21 6.96 31183427.07 14729.36
Aug-11 -12.22 2087.38 -14.60 -4997.62 213.30 24976178.73 72989.75
Sep-11 8.61 1786.38 6.22 -5298.62 38.75 28075377.14 -32982.06
Oct-11 -2.49 1281.61 -4.88 -5803.39 23.80 33679350.65 28312.41
Nov-11 -13.23 1759.95 -15.62 -5325.04 243.94 28356096.86 83170.45
Dec-11 -6.80 5219.17 -9.18 -1865.83 84.35 3481307.80 17135.88
Sum 85.96 255059.94 8866.05 1289954221.05 1117743.24
Avgerage 2.39 7085.00 94.16 35915.93 0.33

Note:
X: indicates month wise returns of Ranbaxy Ltd Scrip
Y: indicates month wise trading volume of Ranbaxy Ltd Scrip
DX: indicates deviation of monthly returns from average returns of Ranbaxy Ltd Scrip
DY: deviation of monthly trading volume from average trading volume of Ranbaxy Ltd
Scrip

Table No.13: Indicating Corelation Coeffficent For All Sample Companies:

Correlation Co-Efficient
Company
(2009 To 2011)
TCS Ltd 0.30
Tech Mahindra Ltd 0.75
Maruthi Udyog Ltd 0.39
Hero Motor Corp -0.08
Ranbaxy Ltd 0.33
BioCon Ltd 0.42
Graph No. 13: Indicating Corelation Coeffficent For all sample companies:

Inference:

From above table it is clear that there is moderate to high degree of correlation between
Stock returns and trading volumes of various companies listed on BSE stock exchange.

Conclusion:
This study examines the trading volume effect on stock returns at Bombay Stock Exchange
from 2009-2011.This study examines the relationship between trading volume change and stock
return by calculating the monthly returns for period of 3 years and then by calculating correlation
coefficient between stock returns and trading volume by taking trading date of 6 companies listed
on BSE.The study finds that trading volume change is positively relate with the stock
returns and as the trading volume has predictive power on stock returns, investors can make trading
volume based strategies to make profits.

References:
1. Roland Mestel; Henryk Gurgul ; Pawełmajdosz November 2003, The Empirical
Relationship Between Stock Returns, Return Volatility And Trading Volume On The
Austrian Stock Market.
2. Khalid Mustafa; Mohammed Nishat; Trading Volume and Serial Correlation in Stock
Returns in Pakistan.
3. Ravi Kant; Testing Of Relationship Between Stock Return And Trading Volume In India.
4. Chao Chen and Zhong-Guo Zhou; Stock Returns, Volatility, and Trading Volume: Evidence
from the Chinese Stock Markets.