Study on Relationship between Delivery Quantity to Total Quantity traded and Stock returns

This study is done to examine whether the delivery quantity to total quantity traded of a stock affects or is affected by its stock return. The paper investigates the relationship between stock return and delivery quantity traded to total quantity traded for 13 companies in the banking sector of NSE NIFTY. Unit root test was conducted to check stationary of volume and return data and it confirms both delivery quantity traded to total quantity traded and returns series are stationary and granger causality tests were conducted to analyze the relationship and we found that for two of the thirteen companies, stock return is granger causing delivery quantity traded to total quantity traded. It implies market efficient market hypothesis is holds true. Keywords—Stock return; Delivery Quantity traded; granger causality test