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Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis

Year 2014, Volume: 14 Issue: 2, 211 - 220, 01.05.2014

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

References

  • Al-Deehani, T.M. (2007) “Modeling Asymmetry in the Price-Volume Relation: Evidence from Nine Stock Markets” Investment Management and Financial Innovations, 4(4):8-15.
  • Andersen, T. (1996) “Return Volatility and Trading Volume:An Information Flow Interpretation of Stochastic Volatility” Journal of Finance, 51(1):169-204.
  • Arslantürk, Y., Balcılar, M. ve Özdemir, Z.A. (2011) “Time-Varying Linkages between Tourism Receipts and Economic Growth in a Small Open Economy” Economic Modelling, 28(1-2):664-671.
  • Assogbavi, T. ve Osagie, J. (2006) “Equity Valuation Process and Price-Volume Relationship on Emerging Stock Markets” International Business and Economics Research Journal, 5:7-18.
  • Başçı, E., Özyıldırım, S. ve Aydoğan, K. (1996) “A Note on Price-Volume Dynamics in an Emerging Stock Market” Journal of Banking and Finance, 20:389-400.
  • Bayrakdaroğlu, A. ve Nazlıoğlu, Ş. (2009) “Hisse Senedi Fiyat-Hacim İlişkisi: İMKB’de İşlem Gören Bankalar için Doğrusal ve Doğrusal Olmayan Granger Nedensellik Analizi” İktisat, İşletme ve Finans Dergisi, 24(277):85-109.
  • Blume, L., Easley, D., ve O’Hara, M. (1994) “Market Statistics and Technical Analysis: The Role of Volume” Journal of Finance, 49:153-181.
  • Brooks, C. ve Hinich, M. J. (1998) “Episodic Nonstationarity in Exchange Rates” Applied Economics Letters, 5(11):719-722.
  • Campbell, J., Grossman, S. ve Wang, J. (1993) “Trading Volume and Serial Correlation in Stock Returns” Quarterly Journal of Economics, 108:905-939.
  • Chen, G., Firth, M., ve Rui, O.M. (2001) “The Dynamic Relation between Stock Returns, Trading Volume, and Volatility” Financial Review, 38:153-174.
  • Chuang, C.C., Kuan, C.M. ve Lin, H.Y. (2009) “Causality in Quantiles and Dynamic Stock Return- Volume Relations” Journal of Banking and Finance, 33:1351-60.
  • Clark, P. (1973) “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices” Econometrica, 41:135-155.
  • Copeland, L. (1991) “Cointegration Tests with Daily Data” Oxford Bulletin of Economics and Statistics, 53(2):185-198.
  • Copeland, T.E. (1976) “A Model of Asset Trading Under the Assumption of Sequential Information Arrival” Journal of Finance, 31:1149-1168.
  • Çukur, S., Gümrah, Ü. ve Gümrah, M.Ü. (2012) “İstanbul Menkul Kıymetler Borsasında Hisse Senedi Getirileri ve İşlem Hacmi İlişkisi” Niğde Üniversitesi İİBF Dergisi, 5(1):20-35
  • Darwish, M. (2012) “Testing the Contemporaneous and Causal Relationship between Trading
  • Volume and Return in the Palestine Exchange” International Journalof Economics and Finance, 4(4):182-192.
  • De Long, J., Shleifer, A., Summers, L., ve Waldmann, R. (1990) “Positive Feedback, Investment Strategies, and Destabilizing Rational Speculation” Journalof Finance, 45:379-395.
  • Dolado, J.J. ve Lütkepohl, H. (1996) “Making Wald Tests Work for Cointegrated VAR Systems” Econometric Theory, 15(4):369-386.
  • Elmas, B., ve Temurlenk, M.S. (2009) “Hisse Senedi Fiyatı-İşlem Hacmi Arasındaki Granger Nedensellik: İMKB’de Hisse Bazlı Bir Analiz” İMKB Dergisi, 11(43):1-15
  • Epps, T. ve Epps, M.L. (1976) “The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implication for the Mixture-of-Distributions Hypothesis” Econometrica, 44:305-21.
  • Fama, E.F. (1970) “Efficient Capital Markets: A Review of Theory and Empirical Work” Journal of Finance, 25:383- 417.
  • Gerlach, R., Chen, C.W.S., Lin, D.S.Y. ve Huang, M.H. (2006) “Asymmetric Responses of International Stock Markets to Trading Volume” Physica A: Statistical Mechanics and its Applications, 360(2): 422-444.
  • Godfrey, M.D., Granger, C.W.J. ve Morgenstern, O. (1964) “The Random-Walk Hypothesis of Stock Market Behavior” Kyklos, 17(1):1-30.
  • Granger, C.W.J. ve Morgenstern, O. (1963) “Spectral Analysis of New York Stock Market Prices” Kyklos, 16(1):1-27.
  • Granger, C.W. J. (1969) “Investigating Causal Relations by Econometric Models and Cross Spectral Methods” Econometrica, 37:424-438.
  • Granger, C.W.J. ve Yoon, G. (2002) “Hidden Cointegration” Department of Economics Working Paper University of California, No:2002-02.
  • Gökçe, A. (2002) “İMKB’de Fiyat-Hacim İlişkisi: Granger Nedensellik Testi” İktisat, İşletme ve Finans Dergisi, 17(201):44-47.
  • Gündüz, L. ve Hatemi-J, A. (2005) “Stock Price and Volume Relation in Emerging Markets” Emerging Markets Finance and Trade, 41:29-44.
  • Hacker, R.S. ve Hatemi-J, A. (2006) “Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application” Applied Economics, 38(13):1489-1500.
  • Hacker, R.S. ve Hatemi-J, A. (2008) “Optimal Lag Length Choice in the Stable and Unstable VAR Models Under Situations of Homoscedasticity and Heteroscedasticity” Journal of Applied Statistics, 35(6):601-615.
  • Hatemi-J, A. (2003) “A New Method to Choose Optimal Lag Order in Stable and Unstable VAR Models” Applied Economics Letters, 10(3):135-137.
  • Hatemi-J, A. (2012) “Asymmetric Causality Tests with an Application” Empirical Economics, 43(1):447-456.
  • Hiemstra, C. ve Jones, J.D. (1994) “Testing for Linear and Nonlinear Granger Causality in Stock Price-Volume Relation” Journal of Finance, 49:1639-1664
  • Hsiao, C. (1981) “Autoregressive Modelling and Money-Income Causality Detection” Journal of Monetary Economics, 7(1): 85-106
  • Jennings, R., Starks, L. ve Fellingham, J. (1981) “An Equilibrium Model of Asset Trading with Sequential Information Arrival” Journal of Finance, 36:143-161.
  • Kamath, R. (2007) “Investigating Causal Relations between Price Changes and Trading Volume Changes in the Turkish Stock Market” American Society of Business and Behavioural Science, 3(1):30-40.
  • Karpoff, J. (1987) “The Relation between Price Changes and Trading Volume: A Survey” Journal of Financial and Quantitative Analysis, 22:109-125.
  • Kayalıdere, K. ve Aktaş, H. (2009) “İMKB’de Fiyat- Hacim İlişkisi - Asimetrik Etkileşim” Yönetim ve Ekonomi, 16(2):49-62
  • Lakonishok J. ve Smidth, S. (1989) “Past Prices Changes and Current Trading Volume” Journal of Portfolio Management, 15:18-24.
  • Lean H.H. ve Tang, C.H. (2010) “Is the Tourism- Led Growth Hypothesis Stable for Malaysia? A Note” International Journal of Tourism Research, 12:375-378.
  • Lee, C.F. ve Rui, O.M. (2000) “Does Trading Volume Contain Information to Predict Stock Retums? Evidence from China’s Stock Markets” Review of Quantitative Finance and Accounting, 14:341-360.
  • Lee, B.S. ve Rui, O. (2002) “The Dynamic Relationship between Stock Return and Trading Volume: Domestic and Cross-country Evidence” Journal of Banking and Finance, 26:51-78.
  • Lin, H.Y. (2013) “Dynamic Volume–Return Relation: Evidence from Emerging Asian Markets” Bulletin of Economic Research, 65(2):178-193
  • Lütkepohl, H. (1985) “Comparison of Criteria for Estimating the Order of a Vector Autoregressive Process” Journal of Time Series Analysis, 6:35-52.
  • Ngo, T.N. ve Surendranath, J. (2008) “International Evidence on the Relationship between Trading Volume and Serial Correlation in Stock Returns” Global Journal of Finance and Banking Issues, 2(2):1-13.
  • Osborne, M.F.M. (1967) “Some quantitative tests for stock price generating models and trading folklore” Journal of the American Statistical Association, 62(318):321-340.
  • Pisedtasalasai, A. ve Gunasekarage, A. (2007) “Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging Markets in South-East Asia” Asia-Pacific Financial Markets, 14:277-97.
  • Silvapulle, P. ve Choi, J. (1999) “Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation:Korean Evidence” Quarterly Review of Economics and Finance, 39:59-76.
  • Sims, C.A. (1972) “Money, Income, and Causality” American Economic Review, 62(4): 540-552
  • Tauchen, G. ve Pitts, M. (1983) “The Price Variability-Volume Relationship on Speculative Markets” Econometrica, 51:485-505.
  • Tang, C.F. (2008) “Wagner’s Law Versus Keynesian Hypothesis: New Evidence from Recursive Regression- Based Causality Approaches” ICFAI Journal of Public Finance, 6(4): 29-38.
  • Toda, H.Y. ve Yamamoto, T. (1995) “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes” Journal of Econometrics, 66(1- 2):225-250.
  • Umutlu, G. (2008) “İşlem Hacmi ve Fiyat Değişimleri Arasındaki Nedensellik ve Dinamik İlişkiler: İMKB’de Bir Ampirik İnceleme” Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1):231-246.
  • Yörük, N., Erdem, C. ve Erdem, M.S. (2006) “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation: Turkish Banking Firms’ Evidence” Applied Financial Economics Letters, 2:165-171.

Türk Sermaye Piyasasında Fiyat ve İşlem Hacmi İlişkisi: Zamanla Değişen Asimetrik Nedensellik Analizi

Year 2014, Volume: 14 Issue: 2, 211 - 220, 01.05.2014

Abstract

Bu çalışma, Türk sermaye piyasasında hisse senedi fiyatları ile işlem hacmi arasındaki nedensellik ilişkisini günlük veriler aracılığıyla 1990-2012 dönemi için araştırmaktadır. Literatürdeki önceki çalışmalardan farklı olarak, pozitif ve negatif şoklara verilen tepkilerin farklı olabileceği ve aynı zamanda elde edilen sonuçların zamana bağlı olarak değişebileceği dikkate alınarak, zamanla değişen asimetrik nedensellik testi kullanılmıştır. Sonuçlar, işlem hacminin bileşenlerinden hisse senedi fiyatlarının bileşenlerine doğru tek yönlü bir nedensellik ilişkisi olduğunu ve bu ilişkinin zamana bağlı olarak değiştiğini göstermektedir

References

  • Al-Deehani, T.M. (2007) “Modeling Asymmetry in the Price-Volume Relation: Evidence from Nine Stock Markets” Investment Management and Financial Innovations, 4(4):8-15.
  • Andersen, T. (1996) “Return Volatility and Trading Volume:An Information Flow Interpretation of Stochastic Volatility” Journal of Finance, 51(1):169-204.
  • Arslantürk, Y., Balcılar, M. ve Özdemir, Z.A. (2011) “Time-Varying Linkages between Tourism Receipts and Economic Growth in a Small Open Economy” Economic Modelling, 28(1-2):664-671.
  • Assogbavi, T. ve Osagie, J. (2006) “Equity Valuation Process and Price-Volume Relationship on Emerging Stock Markets” International Business and Economics Research Journal, 5:7-18.
  • Başçı, E., Özyıldırım, S. ve Aydoğan, K. (1996) “A Note on Price-Volume Dynamics in an Emerging Stock Market” Journal of Banking and Finance, 20:389-400.
  • Bayrakdaroğlu, A. ve Nazlıoğlu, Ş. (2009) “Hisse Senedi Fiyat-Hacim İlişkisi: İMKB’de İşlem Gören Bankalar için Doğrusal ve Doğrusal Olmayan Granger Nedensellik Analizi” İktisat, İşletme ve Finans Dergisi, 24(277):85-109.
  • Blume, L., Easley, D., ve O’Hara, M. (1994) “Market Statistics and Technical Analysis: The Role of Volume” Journal of Finance, 49:153-181.
  • Brooks, C. ve Hinich, M. J. (1998) “Episodic Nonstationarity in Exchange Rates” Applied Economics Letters, 5(11):719-722.
  • Campbell, J., Grossman, S. ve Wang, J. (1993) “Trading Volume and Serial Correlation in Stock Returns” Quarterly Journal of Economics, 108:905-939.
  • Chen, G., Firth, M., ve Rui, O.M. (2001) “The Dynamic Relation between Stock Returns, Trading Volume, and Volatility” Financial Review, 38:153-174.
  • Chuang, C.C., Kuan, C.M. ve Lin, H.Y. (2009) “Causality in Quantiles and Dynamic Stock Return- Volume Relations” Journal of Banking and Finance, 33:1351-60.
  • Clark, P. (1973) “A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices” Econometrica, 41:135-155.
  • Copeland, L. (1991) “Cointegration Tests with Daily Data” Oxford Bulletin of Economics and Statistics, 53(2):185-198.
  • Copeland, T.E. (1976) “A Model of Asset Trading Under the Assumption of Sequential Information Arrival” Journal of Finance, 31:1149-1168.
  • Çukur, S., Gümrah, Ü. ve Gümrah, M.Ü. (2012) “İstanbul Menkul Kıymetler Borsasında Hisse Senedi Getirileri ve İşlem Hacmi İlişkisi” Niğde Üniversitesi İİBF Dergisi, 5(1):20-35
  • Darwish, M. (2012) “Testing the Contemporaneous and Causal Relationship between Trading
  • Volume and Return in the Palestine Exchange” International Journalof Economics and Finance, 4(4):182-192.
  • De Long, J., Shleifer, A., Summers, L., ve Waldmann, R. (1990) “Positive Feedback, Investment Strategies, and Destabilizing Rational Speculation” Journalof Finance, 45:379-395.
  • Dolado, J.J. ve Lütkepohl, H. (1996) “Making Wald Tests Work for Cointegrated VAR Systems” Econometric Theory, 15(4):369-386.
  • Elmas, B., ve Temurlenk, M.S. (2009) “Hisse Senedi Fiyatı-İşlem Hacmi Arasındaki Granger Nedensellik: İMKB’de Hisse Bazlı Bir Analiz” İMKB Dergisi, 11(43):1-15
  • Epps, T. ve Epps, M.L. (1976) “The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implication for the Mixture-of-Distributions Hypothesis” Econometrica, 44:305-21.
  • Fama, E.F. (1970) “Efficient Capital Markets: A Review of Theory and Empirical Work” Journal of Finance, 25:383- 417.
  • Gerlach, R., Chen, C.W.S., Lin, D.S.Y. ve Huang, M.H. (2006) “Asymmetric Responses of International Stock Markets to Trading Volume” Physica A: Statistical Mechanics and its Applications, 360(2): 422-444.
  • Godfrey, M.D., Granger, C.W.J. ve Morgenstern, O. (1964) “The Random-Walk Hypothesis of Stock Market Behavior” Kyklos, 17(1):1-30.
  • Granger, C.W.J. ve Morgenstern, O. (1963) “Spectral Analysis of New York Stock Market Prices” Kyklos, 16(1):1-27.
  • Granger, C.W. J. (1969) “Investigating Causal Relations by Econometric Models and Cross Spectral Methods” Econometrica, 37:424-438.
  • Granger, C.W.J. ve Yoon, G. (2002) “Hidden Cointegration” Department of Economics Working Paper University of California, No:2002-02.
  • Gökçe, A. (2002) “İMKB’de Fiyat-Hacim İlişkisi: Granger Nedensellik Testi” İktisat, İşletme ve Finans Dergisi, 17(201):44-47.
  • Gündüz, L. ve Hatemi-J, A. (2005) “Stock Price and Volume Relation in Emerging Markets” Emerging Markets Finance and Trade, 41:29-44.
  • Hacker, R.S. ve Hatemi-J, A. (2006) “Tests for Causality between Integrated Variables Using Asymptotic and Bootstrap Distributions: Theory and Application” Applied Economics, 38(13):1489-1500.
  • Hacker, R.S. ve Hatemi-J, A. (2008) “Optimal Lag Length Choice in the Stable and Unstable VAR Models Under Situations of Homoscedasticity and Heteroscedasticity” Journal of Applied Statistics, 35(6):601-615.
  • Hatemi-J, A. (2003) “A New Method to Choose Optimal Lag Order in Stable and Unstable VAR Models” Applied Economics Letters, 10(3):135-137.
  • Hatemi-J, A. (2012) “Asymmetric Causality Tests with an Application” Empirical Economics, 43(1):447-456.
  • Hiemstra, C. ve Jones, J.D. (1994) “Testing for Linear and Nonlinear Granger Causality in Stock Price-Volume Relation” Journal of Finance, 49:1639-1664
  • Hsiao, C. (1981) “Autoregressive Modelling and Money-Income Causality Detection” Journal of Monetary Economics, 7(1): 85-106
  • Jennings, R., Starks, L. ve Fellingham, J. (1981) “An Equilibrium Model of Asset Trading with Sequential Information Arrival” Journal of Finance, 36:143-161.
  • Kamath, R. (2007) “Investigating Causal Relations between Price Changes and Trading Volume Changes in the Turkish Stock Market” American Society of Business and Behavioural Science, 3(1):30-40.
  • Karpoff, J. (1987) “The Relation between Price Changes and Trading Volume: A Survey” Journal of Financial and Quantitative Analysis, 22:109-125.
  • Kayalıdere, K. ve Aktaş, H. (2009) “İMKB’de Fiyat- Hacim İlişkisi - Asimetrik Etkileşim” Yönetim ve Ekonomi, 16(2):49-62
  • Lakonishok J. ve Smidth, S. (1989) “Past Prices Changes and Current Trading Volume” Journal of Portfolio Management, 15:18-24.
  • Lean H.H. ve Tang, C.H. (2010) “Is the Tourism- Led Growth Hypothesis Stable for Malaysia? A Note” International Journal of Tourism Research, 12:375-378.
  • Lee, C.F. ve Rui, O.M. (2000) “Does Trading Volume Contain Information to Predict Stock Retums? Evidence from China’s Stock Markets” Review of Quantitative Finance and Accounting, 14:341-360.
  • Lee, B.S. ve Rui, O. (2002) “The Dynamic Relationship between Stock Return and Trading Volume: Domestic and Cross-country Evidence” Journal of Banking and Finance, 26:51-78.
  • Lin, H.Y. (2013) “Dynamic Volume–Return Relation: Evidence from Emerging Asian Markets” Bulletin of Economic Research, 65(2):178-193
  • Lütkepohl, H. (1985) “Comparison of Criteria for Estimating the Order of a Vector Autoregressive Process” Journal of Time Series Analysis, 6:35-52.
  • Ngo, T.N. ve Surendranath, J. (2008) “International Evidence on the Relationship between Trading Volume and Serial Correlation in Stock Returns” Global Journal of Finance and Banking Issues, 2(2):1-13.
  • Osborne, M.F.M. (1967) “Some quantitative tests for stock price generating models and trading folklore” Journal of the American Statistical Association, 62(318):321-340.
  • Pisedtasalasai, A. ve Gunasekarage, A. (2007) “Causal and Dynamic Relationships among Stock Returns, Return Volatility and Trading Volume: Evidence from Emerging Markets in South-East Asia” Asia-Pacific Financial Markets, 14:277-97.
  • Silvapulle, P. ve Choi, J. (1999) “Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation:Korean Evidence” Quarterly Review of Economics and Finance, 39:59-76.
  • Sims, C.A. (1972) “Money, Income, and Causality” American Economic Review, 62(4): 540-552
  • Tauchen, G. ve Pitts, M. (1983) “The Price Variability-Volume Relationship on Speculative Markets” Econometrica, 51:485-505.
  • Tang, C.F. (2008) “Wagner’s Law Versus Keynesian Hypothesis: New Evidence from Recursive Regression- Based Causality Approaches” ICFAI Journal of Public Finance, 6(4): 29-38.
  • Toda, H.Y. ve Yamamoto, T. (1995) “Statistical Inference in Vector Autoregressions with Possibly Integrated Processes” Journal of Econometrics, 66(1- 2):225-250.
  • Umutlu, G. (2008) “İşlem Hacmi ve Fiyat Değişimleri Arasındaki Nedensellik ve Dinamik İlişkiler: İMKB’de Bir Ampirik İnceleme” Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1):231-246.
  • Yörük, N., Erdem, C. ve Erdem, M.S. (2006) “Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation: Turkish Banking Firms’ Evidence” Applied Financial Economics Letters, 2:165-171.
There are 55 citations in total.

Details

Other ID JA58HA48UP
Journal Section Research Article
Authors

Veli Yılancı

Şeref Bozoklu This is me

Publication Date May 1, 2014
Published in Issue Year 2014 Volume: 14 Issue: 2

Cite

APA Yılancı, V., & Bozoklu, Ş. (2014). Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis. Ege Academic Review, 14(2), 211-220.
AMA Yılancı V, Bozoklu Ş. Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis. ear. May 2014;14(2):211-220.
Chicago Yılancı, Veli, and Şeref Bozoklu. “Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis”. Ege Academic Review 14, no. 2 (May 2014): 211-20.
EndNote Yılancı V, Bozoklu Ş (May 1, 2014) Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis. Ege Academic Review 14 2 211–220.
IEEE V. Yılancı and Ş. Bozoklu, “Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis”, ear, vol. 14, no. 2, pp. 211–220, 2014.
ISNAD Yılancı, Veli - Bozoklu, Şeref. “Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis”. Ege Academic Review 14/2 (May 2014), 211-220.
JAMA Yılancı V, Bozoklu Ş. Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis. ear. 2014;14:211–220.
MLA Yılancı, Veli and Şeref Bozoklu. “Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis”. Ege Academic Review, vol. 14, no. 2, 2014, pp. 211-20.
Vancouver Yılancı V, Bozoklu Ş. Price and Trade Volume Relationship in Turkish Stock Market: A Time-Varying Asymmetric Causality Analysis. ear. 2014;14(2):211-20.