• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Finance.
    • Frequency: Semiannually
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Managing Editor: Ms. Inez. Chan

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HOME > Archive > 2026 > Volume 17 Number 1 (2026) >
IJTEF 2026 Vol.17(1): 179-188
DOI: 10.18178/ijtef.2026.17.1.788

The Dynamics of the Relationship between Stock Returns and Trading Volumes: An Emerging Markets Perspective during Varying Market Conditions

S. Lakshmi Priya and S. Gopi
S. Lakshmi Priya and S. Gopi
Mepco School of Management Studies, Mepco Schlenk Engineering College, Sivakasi, India
Email: subramaniabinaya1_mba26@mepcoeng.ac.in (S.L.P.); sgopi@mepcoeng.ac.in (S.G.)

Manuscript received March 18, 2026; accepted May 13, 2026; published June 22, 2026.

Abstract—This study examines the relationship between stock returns and trading volume in the Indian stock market using daily data of companies listed in the Nifty 50 from 2016 to 2025. Stock returns represent price changes, while trading volume reflects trading activity and information flow in the market. To capture structural changes in market behavior, the Bai–Perron structural break test is applied. In addition, the Granger Causality Test is used to examine the direction of causality between returns and trading volume. The results indicate that the relationship between returns and trading volume varies across time and different market conditions. The findings also suggest that trading volume alone cannot fully explain stock price movements, as firm-specific and macroeconomic factors play a significant role in influencing returns. Furthermore, the study provides empirical evidence supporting the Adaptive Market Hypothesis, demonstrating that the return–volume relationship evolves over time in response to changing market dynamics.

Keywords—granger causality, structural breaks, Bai-Perron Test, market regimes, adaptive market hypothesis, lead-lag dynamics, supremum F-statistic

Cite: S. Lakshmi Priya and S. Gopi, "The Dynamics of the Relationship between Stock Returns and Trading Volumes: An Emerging Markets Perspective during Varying Market Conditions," International Journal of Trade, Economics and Finance, vol.17, no.1, pp. 179-188, 2026.

Copyright © 2026 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).


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