Highest Price and Trading Volume Relationship in Stock Indices: A Comporative Approach with Linear Analysis and Frequency Distribution Analysis

Abstract

Numerous academic studies have been conducted on the relationship between transaction volume and prices of securities in financial markets, especially in stock markets. This study differs from its examples in the literature with its two characteristics: 1) the direction of the relationship changes while the price-volume relationship in stock indices is compared with the highest price-volume relationship realized during the day, and (2) the strength of the relationship has been varying in terms of frequency domains. The findings of the study, which analyzed the daily data of the BIST30 index in 2010-2019 period, are obtained by VAR analysis and Granger causality test, as well as frequency distribution of Breitung-Candelon (2006). 

Keywords

• Price-Volume,Breitung-Candelon

Pay Endekslerinde En Yüksek Fiyat Oluşumu ile İşlem Hacmi Arasındaki İlişki: Doğrusal Analizler ve Frekans Dağılımı Analizleri ile Karşılaştırmalı bir Yaklaşım

Abstract

Pay piyasaları başta olmak üzere finans piyasalarında menkul kıymetlerin işlem hacmi ve fiyatları arasındaki ilişki üzerine çok sayıda akademik çalışma yapılmıştır. Bu çalışma iki özelliği ile literatürdeki örneklerinden farklılık arzetmektedir: 1) pay senedi endekslerindeki fiyat-hacim ilişkisi, gün içinde gerçekleşen en yüksek fiyat-hacim ilişkisi ile karşılaştırıldığında ilişkinin yönünün değiştiği, (2) frekans dağılımları açısından ele alındığında ise ilişkinin frekansa göre farklılaştığı gösterilmiştir. 2010-2019 döneminde BİST30 endeksinin günlük verilerinin analiz edildiği çalışmanın bulguları, VAR analizi ve Granger nedensellik testi yanında Breitung-Candelon (2006)’un frekans dağılımı nedensellik analizi ile elde edilmiştir.  

Keywords

• Fiyat-Hacim,Breitung-Candelon,frekans dağılımı

References

1. Acar Boyacıoğlu, M., Güvenek, B., ve Alptekin, V. (2010). Getiri Volatilitesi ile İşlem Hacmi Arasındaki İlişki. Muhasebe ve Finansman Dergisi, 48, 200-217.
2. Ajayi, R. A., Mehdian, S., ve Mougoue, M. (2006). The Empirical Relation between Price Changes and Trading Volumes: Further Evidence from European Stock Markets. Alliance Journal of Business Research, 2009, 3-20
3. Bohl, M. T., ve Henke, H. (2003). Trading Volume and Stock Market Volatility: The Polish Case. International Review of Financial Analysis, 12(5), 513-525.
4. Breitung, J., ve Candelon, B. (2006). Testing for Short and Long-Run Causality: A Frequency-Domain Approach. Journal of Econometrics, 132(2), 363-378.
5. Brock, W. A., ve LeBaron, B. D. (1995). A Dynamic Structural Model for Stock Return Volatility and Trading Volume. National Bureau of Economic Research. Working Paper No. w4988.
6. Brooks, C. (2008). Introductory Econometrics for Finance, 2. ed., New York, Cambridge University.
7. Buhlmann, P. (1998). Extreme Events from The Return-Volume Process: A Discretization Approach for Complexity Reduction. Applied Financial Economics, 8(3), 267-278.
8. Çelik, S., ve Koy, A. (2019). Chicken-Egg Dilemma for the Relationship Between Price and Volume in Borsa Istanbul. In Behavioral Finance and Decision-Making Models (pp. 46-69). IGI Global.

9. Clark, P. K. (1973). A Subordinated Stochastic Process Model with Finite Variance For Speculative Prices. Econometrica: Journal of the Econometric Society, 41(1), 135-155.
10. Chen, G. M., Firth, M., ve Rui, O. M. (2001). The Dynamic Relation between Stock Returns, Trading Volume, and Volatility. Financial Review, 36(3), 153-174.
11. Chuang, C. C., Kuan, C. M., ve Lin, H. Y. (2009). Causality in Quantiles and Dynamic Stock Return–Volume Relations. Journal of Banking ve Finance, 33(7), 1351-1360.
12. Copeland, T. E. (1976). A Model of Asset Trading under The Assumption of Sequential Information Arrival. The Journal of Finance, 31(4), 1149-1168.
13. Darwish, M. (2012). Testing The Contemporaneous and Causal Relationship Between Trading Volume and Return in The Palestine Exchange. International Journal of Economics and Finance, 4(4), 182-192.
14. Elmas, B., ve Yıldırım, M. (2010). Kriz Dönemlerinde Hisse Senedi Fiyati ile İşlem Hacmi İlişkisi: İMKB’de İşlem Gören Bankacılık Sektör Hisseleri Üzerine Bir Uygulama. Atatürk Üniversitesi İktisadi ve İdari Bilimler Dergisi, 24(2), 37-46.
15. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
16. Geweke, J. (1982). Measurement of Linear Dependence and Feedback Between Multiple Time Series. Journal of The American Statistical Association, 77(378), 304-313.
17. Girard, E., ve Biswas, R. (2007). Trading Volume and Market Volatility: Developed Versus Emerging Stock Markets. Financial Review, 42(3), 429-459.
18. Gökçe, A. (2002). İMKB'de Fiyat-Hacim İlişkisi: Granger Nedensellik Testi. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 4(3), 43-48.
19. Granger, C. W., ve Morgenstern, O. (1963). Spectral Analysis of New York Stock Market Prices. Econometrıc Society Monographs 32 (2001), 85-105.
20. Granger, C. W. (1969). Investigating Causal Relations By Econometric Models and Cross-Spectral Methods. Econometrica: Journal of the Econometric Society, 37(3), 424-438.
21. Gündüz, L., ve Hatemi-J, A. (2005). Stock Price and Volume Relation in Emerging Markets. Emerging Markets Finance and Trade, 41(1), 29-44.
22. Hiemstra, C., ve Jones, J. D. (1994). Testing For Linear and Nonlinear Granger Causality in The Stock Price‐Volume Relation. The Journal of Finance, 49(5), 1639-1664.
23. Investing, Endeksler, Türk Endeksleri (2020). https://tr.investing.com/indices/ise-30 (Erişim Tarihi: 03.04.2019).
24. İskenderoğlu, Ö., ve Akdağ, S. (2017). Finansal Hizmetler Güven Endeksinin Geçerliliğinin İncelenmesi: Türkiye Örneği. Uluslararası Ekonomik Araştırmalar Dergisi, 3(4), 625-633.
25. İskenderoğlu, Ö., ve Akdağ, S. (2019). Risk İştahı ile Petrol Fiyatları, Döviz Kuru, Altın Fiyatları ve Faiz Oranları Arasında Nedensellik Analizi: Türkiye Örneği. Doğuş Üniversitesi Dergisi, 20(1), 1-14.
26. Kamath, R., ve Wang, Y. (2006). The Causality Between Stock Index Returns and Volumes in The Asian Equity Markets. Journal of International Business Research, 5(2), 63-74.
27. Karpoff, J. M. (1987). The Relation between Price Changes and Trading Volume: A Survey. Journal of Financial and Quantitative Analysis, 22(1), 109-126.
28. Kayalidere, K., ve Aktaş, H. (2009). İMKB’de Fiyat-Hacim İlişkisi-Asimetrik Etkileşim. Yönetim ve Ekonomi: Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 16(2), 49-62.
29. Kiger, J. E. (1972). An Empirical Investigation of NYSE Volume and Price Reactions to The Announcement of Quarterly Earnings. Journal of Accounting Research, 10(1), 113-128.
30. Kim, O., ve Verrecchia, R. E. (1991). Trading Volume and Price Reactions to Public Announcements. Journal of Accounting Research, 29(2), 302-321.
31. Kıran, B. (2010). İstanbul Menkul Kıymetler Borsası’nda İşlem Hacmi ve Getiri Volatilitesi. Doğuş Üniversitesi Dergisi, 11 (1), 98-108
32. Lee, B. S., ve Rui, O. M. (2002). The Dynamic Relationship between Stock Returns and Trading Volume: Domestic and Cross-Country Evidence. Journal of Banking ve Finance, 26(1), 51-78.
33. Lee, C. M., ve Swaminathan, B. (2000). Price Momentum and Trading Volume. The Journal of Finance, 55(5), 2017-2069.
34. Lucey, B. M. (2006). Does Volume Provide Information? Evidence from The Irish Stock Market. Applied Financial Economics Letters, 1(2), 105-109.
35. Morse, D. (1981). Price and Trading Volume Reaction Surrounding Earnings Announcements: A Closer Examination. Journal of Accounting Research, 19(2), 374-383.
36. Mutalib Anifowose, M. (2013). An Analysis of Causal Relation between Stock Return and Trading Volume in Nigerian Capital Market. International Journal of Social Sciences and Humanities Reviews, 4(2), 137 –147
37. Okuyan, H. A., ve Erbaykal, E. (2011). İMKB’de Yabancı İşlemleri ve Hisse Senedi Getirileri İlişkisi. Doğuş Üniversitesi Dergisi, 12(2), 256-264
38. Osborne, M. F. (1959). Brownian Motion in The Stock Market. Operations Research, 7(2), 145-173.
39. 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(4), 277.
40. Qi, R. (2001). Return-Volume Relation in The Tail: Evidence from Six Emerging Markets. Columbia Business School Working Paper, 1-53.
41. Saatcioglu, K., ve Starks, L. T. (1998). The Stock Price–Volume Relationship in Emerging Stock Markets: The Case of Latin America. International Journal of Forecasting, 14(2), 215-225.
42. Sarıkovanlık, V., Koy, A., Akkaya, M., Yıldırım, H. H., ve Kantar, L. (2019). Finans Biliminde Ekonometri Uygulamaları. Ankara: Seçkin Yayıncılık.
43. Tambi, M. K. (2005). A Test of Integration between Emerging and Developed Nation’s Stock Markets (No. 0506004). University Library of Munich, Germany.
44. Taş, O., Tokmakçıoğlu, K., ve Çevikcan, G. (2016). Borsa Istanbul'da Pay Senedi Getirileri ile İşlem Hacmi arasındaki İlişki. Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 18(1), 11-30.
45. Tauchen, G. E., ve Pitts, M. (1983). The Price Variability-Volume Relationship on Speculative Markets. Econometrica: Journal of the Econometric Society, 51(2), 485-505.
46. Tripathy, N. (2011). The Relation between Price Changes and Trading Volume: A Study in Indian Stock Market. Interdisciplinary Journal of Research in Business, 1(7), 81-95.
47. Wang, C., ve Chin, S. (2004). Profitability of Return and Volume-Based Investment Strategies in China's Stock Market. Pacific-Basin Finance Journal, 12(5), 541-564.