Türk Sermaye Piyasasinda Fiyat ve Islem Hacmi Iliskisi: Zamanla Degisen Asimetrik Nedensellik Analizi/Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis

Türk Sermaye Piyasasinda Fiyat ve Islem Hacmi Iliskisi: Zamanla Degisen Asimetrik Nedensellik Analizi/Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis

This paper examines the relationship between stock prices and trade volume for the 1990-2012 period by using daily data in Turkish stock market. Contrary to the previous studies in the literature, considering that reactions to the positive and negative shocks may be different from each other, and al...

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Veröffentlicht in:Ege akademik bakıs 2014-04, Vol.14 (2), p.211
Hauptverfasser: Yilanci, Veli, Bozoklu, Seref
Format: Artikel
Sprache:tur
Schlagworte:
Causality
Prices
Securities analysis
Securities markets
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Zusammenfassung:This paper examines the relationship between stock prices and trade volume for the 1990-2012 period by using daily data in Turkish stock market. Contrary to the previous studies in the literature, considering that reactions to the positive and negative shocks may be different from each other, and also the test results may change over time, we employ a time varying asymmetric causality test. The results reveal that there is only a unidirectional causality from the components of trade volume to the components of stock prices and this relationship changes over time. [PUBLICATION ABSTRACT]
ISSN:1303-099X