In this article, we investigate patterns in returns, volume and volatility and analyse the volume–return relationship using tick-by-tick data from the Indian equity market. Based on descriptive measures and regression frameworks, we document three important findings. First, we report unusually high volatility, trading volume and number of trades during the opening and closing minutes of the market depicting a ‘U’-shaped curve, implying high market activity during these periods. Second, while accounting for trading volume, we observe that volatility is not significantly different between mid-day period and evening period as compared to the normal ‘U’ curve. Finally, we document a significant positive relationship between intraday volume and price movements controlling for microstructure effects. The impact of positive returns on trading volume is higher than the impact of negative returns, implying the presence of return–volume asymmetry in the Indian market.

JEL Codes: G12, G15

在本文中，我们将研究收益，交易量和波动率的模式，并使用印度股票市场的逐笔交易数据分析交易量与收益的关系。基于描述性测度和回归框架，我们记录了三个重要发现。首先，我们报告在市场开盘和收盘分钟内，波动性，交易量和交易数量异常高，描绘出“ U”形曲线，这意味着在此期间市场活跃。其次，在考虑交易量的同时，我们观察到，与正常的“ U”形曲线相比，中午时段和傍晚时段的波动性没有显着差异。最后，我们记录了日内交易量与控制微观结构效应的价格走势之间的显着正相关。

JEL代码： G12，G15