Abstract

Bu çalışmada, 1998-2005 dönemi günlük veriler kullanılarak Türk hisse senedi piyasasında işlem gören 25 hisse senedi için işlem hacmi ve getiri volatilitesi ilişkisi incelenmiştir. Çalışma sonuçları, diğer birçok çalışma bulguları ile paralellik gösterecek şekilde, işlem hacminin Türk hisse senedi piyasasında hisselerin getiri volatilite süreçlerini anlamlı bir şekilde etkilediğini göstermektedir. Öte yandan, sonuçlar, aynı zamanda, işlem hacminin birçok hisse senedinin volatilite sürekliliğinin azalmasında önemli bir etkisi olmadığını da ortaya koymaktadır. Bu sonuç, Türk hisse senedi piyasasında “Karışık Dağılımlar Hipotezi”nin geçerli olmadığına işaret etmektedir. Elde edilen sonuçlar, Türk hisse senedi piyasası da dahil olmak üzere, gelişmekte olan ülkelerde yapılan birçok çalışma sonucu ile tutarlılık göstermektedir

AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET

Abstract

This paper investigates the volume-return volatility relationship for 25 individual stocks in the Turkish stock market, using daily data for the period 1998-2005. The results indicate that trading volume significantly contributes to the return volatility process of stocks in Turkish stock market, as suggested in many studies. On the other hand, the results also signify that the trading volume has no significant effect on the reduction of the volatility persistence for majority of stocks in the sample, challenging the presence of “Mixed Distribution Hypothesis” in Turkish stock market. These results are consistent with the empirical findings of a number of studies in emerging markets, including with those done in Turkish stock market.

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