Author/Authors
YILANCI, Veli Sakarya Üniversitesi - İktisadi ve İdari Bilimler Fakültesi - Finansal Ekonometri Bölümü, Turkey , BOZOKLU, Şeref İstanbul Üniversitesi - İktisat Fakültesi - İktisat Bölümü, Turkey
Title Of Article
Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis
شماره ركورد
44425
Abstract
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.
From Page
211
NaturalLanguageKeyword
Turkish stock market , time , varying asymmetric causality test , price , volume relationship.
JournalTitle
Ege Academic Review (EAR)
To Page
220
JournalTitle
Ege Academic Review (EAR)
Link To Document