A Markov-Switching Vector Error Correction Model of the Indian Stock Prices and Trading Volume

摘要: Using weekly data from the Indian stock markets, relationship between price and trading volume at an aggregated market level are examined using a Markov Switching-Vector Error Correction Model (MS-VECM), where deviations long run equilibrium characterized by different rates of adjustment depending on state hidden chain. The dynamics one co integrating vector relating to volume. We find is weakly exogenous. MS-VECM with two regimes provides good characterization performs well relative other linear nonlinear models. identified as first regime high volatility second modest volatility. found be associated important local international events (social, economic, & political) affecting Stock market.