BibTex RIS Kaynak Göster

Yıl 2006, Cilt: 6 Sayı: 2, 115 - 125, 01.10.2006

Hasan Baklacı Adnan Kasman

Öz

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

Kaynakça

  • ADMATI, A. R. ve PFLEIDERER, P. (1988): “A theory of intraday patterns: volume and price variability” , Review of Financial Studies, 1, 3-40.
  • AHMED, H. J. A., HASSAN, A. ve NASIR, A. M. D. (2005): “The Relationship between Trading Volume, Volatility and Stock market Returns: A Test of Mixed Distribution Hypothesis for a Preand Post Crisis on Kuala Lumpur Stock Exchange”, Investment Management and Financial Innovations, 3, 146-158.
  • ANDERSEN, Torben G. (1996): “Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility”, Journal of Finance, 51, 169-204.
  • BALABAN, Ercan. (1995): “Day of the week effects: new evidence from an emerging stock market”, Applied Economics Letters, 2, 139-143.
  • BASCI, Erdem, OZYILDIRIM K. ve AYDOGAN Kursat. (1996): “A Note on PriceVolume Dynamics in an Emerging Stock Market.”, Journal of Banking and Finance, 20, 389-400.
  • BOHL, Martin ve HENKE H. (2003): “Trading volume and stock market volatility: The Polish case”, International Review of Financial Analysis, 153, 1-13.
  • BOLLERSLEV, Tim. (1986): “Generalized Autoregressive Conditional Heteroscedasticity”, Journal of Econometrics, 31, 307-327.
  • BRAILSFORD, Timothy J. (1994): “The Empirical relationship Between Trading Volume, Returns and Volatility”, Research Paper, Department of Accounting and Finance, University of Melbourne, No: 1994-01, 1-33.
  • BROCK, William A. ve LEBARON, Blake D. (1996): “A Dynamic Structural Model for Stock Return Volatility and Trading Volume”, Review of Economics and Statistics, 78, 94-110.
  • CHEN, Gong-Meng, FIRTH, Michael ve RUI Oliver M.(2001): “The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility”, Financial Review, 36, 153-174.
  • CLARK, P. (1973): “A subordinated stochastic process model with finite variance for speculative prices”, Econometrica, 91,135-156.
  • DICKEY, David A.ve FULLER, Wayne A. (1979): “Distribution of the Estimators for Autoregressive Time Series With a Unit Root.”, Journal of the American Statistical Association, 427-431.
  • ENGLE, Robert F. (1982): “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50, 987-1008.
  • FOSTER, Douglas F. ve VISWANATHAN, S. (1993): “Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models”, Journal of Finance, 48, 187-211.
  • GALLAGHER, Liam ve KIELY, Daniel. (2005): “Volume and GARCH Effects for Dual-Listed Equities: Evidence from Irish Equities”, The Irish Accounting Review, 12, 63-82.
  • GALLO, Giampiero M.ve PACINI, Barbara. (2000): “The effects of trading activity on market volatility”, The European Journal of Finance, 163 – 175.
  • GLOSTEN, Lawrence ve JAGANNATHAN, Ravi. (1993): “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks”, Journal of Finance, 48, 1779-1801.
  • GUNDUZ, Lokman ve HATEMI, Abdulnasser. (2005): “Stock Price and Volume Relation in Emerging Markets”, Emerging Markets Finance and Trade, 41, 29-44.
  • GUNER, Nuray ve ONDER Zeynep. (2002) : “Information and Volatility: Evidence from an Emerging Market”, Emerging Markets Finance and Trade , 38, 26-46.
  • HE, H. ve WANG J. (1995): “Differential informational and dynamic behavior of stock trading volume”, The Review of Financial Studies, 8, 919-972.
  • HUANG, B.-N ve YANG, C. W. (2001): “An empirical investigation of trading volume and return volatility of the Taiwan Stock Market”, Global Finance Journal, 12, 55-77.
  • JONES, C.M. , KAUL, G. ve LIPSON, M.L. (1994): “Transactions, volume, and volatility”, The Review of Financial Studies, 7, 631-651.
  • KWIATKOWSKI, D., PHILLIPS, P. C. B., SCHMIDT, P. ve SHIN, Y. (1992): “Testing the null hypothesis of stationarity against the alternative of a unit root”, Journal of Econometrics, 54, 159-178.
  • KYLE, A.S. (1988): “Trading halts and price limits”, Review of Futures Markets, 10, 136-175.
  • LAMOUREUX, Christopher G. ve LASTRAPES, William D. (1994): “Endogenous Trading Volume and Momentum in Stock-Return Volatility”, Journal of Business & Economic Statistics, 12, 253-260.
  • LAMOUREUX, Christopher G. ve LASTRAPES, William D. (1990): “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects”, Journal of Finance, 45, 221-229.
  • MCKENZIE , Michael D ve FAFF, Robert W. (2003): “The Determinants of Conditional Autocorrelation in Stock Returns”, The Journal of Financial Research, 26, 259- 274.
  • MORGAN, I. G. (1976): “Stock Prices and Heteroscedasticity”, Journal of Business, 49, 496- 508.
  • OMRAN, M. F. ve MCKENZIE, E. (2000): “Heteroscedasticity in stock returns data revisited: volume versus GARCH effects”, Applied Financial Economics , 10, 553-560.
  • PYUN, C.S., LEE S.Y. ve NAM, K. (2000): “Volatility and information flows in emerging equity market - A case of the Korean Stock Exchange”, International Review of Financial Analysis, 9, 405-420.
  • SABRI, Nidal Rashid. (2004): “Stock Return Volatility and Market Crisis in Emerging Economies”, Review of Accounting and Finance, 3, 59-83.
  • SALMAN, Ferhan. (2002): “Risk-return-volume relationship in an emerging stock market”, Applied Economics Letters, 9, 549-552.
  • STOLL, H.R. ve WHALEY, R.E. (1990): “Stock market structure and volatility”, The Review of Financial Studies, 3, 37-71.
  • TAUCHEN, George E. ve PITTS, Mark. (1983): “The Price Variability-Volume Relationship on Speculative Markets”, Econometrica, 51, 485- 505.
  • WANG, P. ve LIU, A. (2005): “Stock Return Volatility and Trading Volume: Evidence from the Chinese Stock Market”, Journal of Chinese Economic and Business Studies, 3, 39-54.
  • YUKSEL, A. (2002): “The performance of the Istanbul Stock Exchange during the Russian crisis”, Emerging Markets Finance and Trade, 38, 78-99

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

Yıl 2006, Cilt: 6 Sayı: 2, 115 - 125, 01.10.2006

Hasan Baklacı Adnan Kasman

Öz

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.

Kaynakça

  • ADMATI, A. R. ve PFLEIDERER, P. (1988): “A theory of intraday patterns: volume and price variability” , Review of Financial Studies, 1, 3-40.
  • AHMED, H. J. A., HASSAN, A. ve NASIR, A. M. D. (2005): “The Relationship between Trading Volume, Volatility and Stock market Returns: A Test of Mixed Distribution Hypothesis for a Preand Post Crisis on Kuala Lumpur Stock Exchange”, Investment Management and Financial Innovations, 3, 146-158.
  • ANDERSEN, Torben G. (1996): “Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility”, Journal of Finance, 51, 169-204.
  • BALABAN, Ercan. (1995): “Day of the week effects: new evidence from an emerging stock market”, Applied Economics Letters, 2, 139-143.
  • BASCI, Erdem, OZYILDIRIM K. ve AYDOGAN Kursat. (1996): “A Note on PriceVolume Dynamics in an Emerging Stock Market.”, Journal of Banking and Finance, 20, 389-400.
  • BOHL, Martin ve HENKE H. (2003): “Trading volume and stock market volatility: The Polish case”, International Review of Financial Analysis, 153, 1-13.
  • BOLLERSLEV, Tim. (1986): “Generalized Autoregressive Conditional Heteroscedasticity”, Journal of Econometrics, 31, 307-327.
  • BRAILSFORD, Timothy J. (1994): “The Empirical relationship Between Trading Volume, Returns and Volatility”, Research Paper, Department of Accounting and Finance, University of Melbourne, No: 1994-01, 1-33.
  • BROCK, William A. ve LEBARON, Blake D. (1996): “A Dynamic Structural Model for Stock Return Volatility and Trading Volume”, Review of Economics and Statistics, 78, 94-110.
  • CHEN, Gong-Meng, FIRTH, Michael ve RUI Oliver M.(2001): “The Dynamic Relation Between Stock Returns, Trading Volume, and Volatility”, Financial Review, 36, 153-174.
  • CLARK, P. (1973): “A subordinated stochastic process model with finite variance for speculative prices”, Econometrica, 91,135-156.
  • DICKEY, David A.ve FULLER, Wayne A. (1979): “Distribution of the Estimators for Autoregressive Time Series With a Unit Root.”, Journal of the American Statistical Association, 427-431.
  • ENGLE, Robert F. (1982): “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation”, Econometrica, 50, 987-1008.
  • FOSTER, Douglas F. ve VISWANATHAN, S. (1993): “Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models”, Journal of Finance, 48, 187-211.
  • GALLAGHER, Liam ve KIELY, Daniel. (2005): “Volume and GARCH Effects for Dual-Listed Equities: Evidence from Irish Equities”, The Irish Accounting Review, 12, 63-82.
  • GALLO, Giampiero M.ve PACINI, Barbara. (2000): “The effects of trading activity on market volatility”, The European Journal of Finance, 163 – 175.
  • GLOSTEN, Lawrence ve JAGANNATHAN, Ravi. (1993): “On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks”, Journal of Finance, 48, 1779-1801.
  • GUNDUZ, Lokman ve HATEMI, Abdulnasser. (2005): “Stock Price and Volume Relation in Emerging Markets”, Emerging Markets Finance and Trade, 41, 29-44.
  • GUNER, Nuray ve ONDER Zeynep. (2002) : “Information and Volatility: Evidence from an Emerging Market”, Emerging Markets Finance and Trade , 38, 26-46.
  • HE, H. ve WANG J. (1995): “Differential informational and dynamic behavior of stock trading volume”, The Review of Financial Studies, 8, 919-972.
  • HUANG, B.-N ve YANG, C. W. (2001): “An empirical investigation of trading volume and return volatility of the Taiwan Stock Market”, Global Finance Journal, 12, 55-77.
  • JONES, C.M. , KAUL, G. ve LIPSON, M.L. (1994): “Transactions, volume, and volatility”, The Review of Financial Studies, 7, 631-651.
  • KWIATKOWSKI, D., PHILLIPS, P. C. B., SCHMIDT, P. ve SHIN, Y. (1992): “Testing the null hypothesis of stationarity against the alternative of a unit root”, Journal of Econometrics, 54, 159-178.
  • KYLE, A.S. (1988): “Trading halts and price limits”, Review of Futures Markets, 10, 136-175.
  • LAMOUREUX, Christopher G. ve LASTRAPES, William D. (1994): “Endogenous Trading Volume and Momentum in Stock-Return Volatility”, Journal of Business & Economic Statistics, 12, 253-260.
  • LAMOUREUX, Christopher G. ve LASTRAPES, William D. (1990): “Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects”, Journal of Finance, 45, 221-229.
  • MCKENZIE , Michael D ve FAFF, Robert W. (2003): “The Determinants of Conditional Autocorrelation in Stock Returns”, The Journal of Financial Research, 26, 259- 274.
  • MORGAN, I. G. (1976): “Stock Prices and Heteroscedasticity”, Journal of Business, 49, 496- 508.
  • OMRAN, M. F. ve MCKENZIE, E. (2000): “Heteroscedasticity in stock returns data revisited: volume versus GARCH effects”, Applied Financial Economics , 10, 553-560.
  • PYUN, C.S., LEE S.Y. ve NAM, K. (2000): “Volatility and information flows in emerging equity market - A case of the Korean Stock Exchange”, International Review of Financial Analysis, 9, 405-420.
  • SABRI, Nidal Rashid. (2004): “Stock Return Volatility and Market Crisis in Emerging Economies”, Review of Accounting and Finance, 3, 59-83.
  • SALMAN, Ferhan. (2002): “Risk-return-volume relationship in an emerging stock market”, Applied Economics Letters, 9, 549-552.
  • STOLL, H.R. ve WHALEY, R.E. (1990): “Stock market structure and volatility”, The Review of Financial Studies, 3, 37-71.
  • TAUCHEN, George E. ve PITTS, Mark. (1983): “The Price Variability-Volume Relationship on Speculative Markets”, Econometrica, 51, 485- 505.
  • WANG, P. ve LIU, A. (2005): “Stock Return Volatility and Trading Volume: Evidence from the Chinese Stock Market”, Journal of Chinese Economic and Business Studies, 3, 39-54.
  • YUKSEL, A. (2002): “The performance of the Istanbul Stock Exchange during the Russian crisis”, Emerging Markets Finance and Trade, 38, 78-99
Toplam 36 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA38NY25AF
Bölüm Araştırma Makalesi
Yazarlar

Hasan Baklacı Bu kişi benim

Adnan Kasman Bu kişi benim

Yayımlanma Tarihi 1 Ekim 2006
Yayımlandığı Sayı Yıl 2006 Cilt: 6 Sayı: 2

Kaynak Göster

APA Baklacı, H., & Kasman, A. (2006). AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET. Ege Academic Review, 6(2), 115-125.
AMA Baklacı H, Kasman A. AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET. eab. Ekim 2006;6(2):115-125.
Chicago Baklacı, Hasan, ve Adnan Kasman. “AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET”. Ege Academic Review 6, sy. 2 (Ekim 2006): 115-25.
EndNote Baklacı H, Kasman A (01 Ekim 2006) AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET. Ege Academic Review 6 2 115–125.
IEEE H. Baklacı ve A. Kasman, “AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET”, eab, c. 6, sy. 2, ss. 115–125, 2006.
ISNAD Baklacı, Hasan - Kasman, Adnan. “AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET”. Ege Academic Review 6/2 (Ekim 2006), 115-125.
JAMA Baklacı H, Kasman A. AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET. eab. 2006;6:115–125.
MLA Baklacı, Hasan ve Adnan Kasman. “AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET”. Ege Academic Review, c. 6, sy. 2, 2006, ss. 115-2.
Vancouver Baklacı H, Kasman A. AN EMPIRICAL ANALYSIS OF TRADING VOLUME AND RETURN VOLATILITY RELATIONSHIP IN THE TURKISH STOCK MARKET. eab. 2006;6(2):115-2.