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

Öz

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

Anahtar Kelimeler

• Turkish stock market, time-varying asymmetric causality test, price-volume relationship

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

Öz

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

Anahtar Kelimeler

• Türk sermaye piyasası, zamanla değişen asimetrik nedensellik testi, fiyat-hacim ilişkisi

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