Author/Authors
TAŞ, Oktay İstanbul Teknik Üniversitesi - İşletme Fakültesi - İşletme Mühendisliği Bölümü, Turkey , TOKMAKÇIOĞLU, Kaya İstanbul Teknik Üniversitesi - İşletme Fakültesi - İşletme Mühendisliği Bölümü, Turkey , ÇEVİKCAN, Gökben Türkiye Sermaye Piyasaları Birliği - Araştırma ve İstatistik Bölümü, Turkey
Title Of Article
THE RELATIONSHIP BETWEEN TRADING VOLUME AND RETURNS IN BORSA ISTANBUL
شماره ركورد
14056
Abstract
This paper investigates the stock price-volume relation in Borsa Istanbul for the period 2000/01-2014/06. Regression analysis, Granger Causality Test, Johansen Cointegration Test and VAR Model are applied by using daily index data. It is documented a dynamic and contemporaneous relation between volume and return and return volatility as well at 5 % significance level. In this study, it is found that there is a one-way causality between trading volume and return. In order to verify the results of regression analysis, the VAR Model are also analysed and the results show that the price movements affect the trading volume.
From Page
11
NaturalLanguageKeyword
Return , Volume , Borsa Istanbul , Granger Causality Test , Vector Autoregression Model.
JournalTitle
dokuz eylul university the journal of graduate school of social sciences
To Page
30
JournalTitle
dokuz eylul university the journal of graduate school of social sciences
Link To Document