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THE RELATIONSHIP BETWEEN TRADING VOLUME AND VOLATILITY IN STOCK MARKETS: AN EMPRICAL STUDY IN THE FRAGILE FIVE ECONOMIES

Yıl 2017, , 347 - 364, 01.04.2017
https://doi.org/10.17130/ijmeb.2017228688

Öz

This study aims that examining the relationship between trading volume and stock market volatility on called Fragile Five Economies BIITS, Brazil, India, Indonesia, Turkey and South Africa for 2006-2016 period with weekly data. To detect the asymmetry for volatility, firstly, EGARCH 1,1 model has been estimated and then in order to determine relationship between trading volume and volatility, contemporaneous trading volume and lagged trading volume were included in the model. Thus, two models are created. According to the results of the model, it is possible to say that Mixture of Distribution Hypothesis is valid in all BIITS countries under constraints of weekly data

Kaynakça

  • Ahmed, H. J. A., Hassan, A., & Nasir, A. M. D. (2005). The relationship between trading volume, volatility and stock market returns: A test of mixed distribution hypothesis for a a pre-and post crisis on Kuala Lumpur Stock Exchange. Investment Management and Financial Innovations, 3, 146-158.
  • Akel, V. (2015). Kırılgan beşli ülkelerinin hisse senedi piyasaları arasındaki eşbütünleşme analizi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 11(24), 75-96.
  • Akel, V. (2011). Kriz dönemlerinde finansal piyasalar arasındaki volatilite yayılma etkisi, Ankara: Detay Yayıncılık.
  • Alsubaie, A. N., & Najand, M. (2008). Trading volume, price momentum and the 52-week high price momentum strategy in the Saudi Stock Market. Journal of Multinational Financial Management, 19, 139–159.
  • Ananzeh, I. E., Jdaitawi, Q. M., & Al-Jayousi, A. M. (2013). Relationship between market volatiliy and trading volume: Evidence from Amman Stock Exchange. International Journal of Business and social Science, 4(16), 188-198.
  • Ane, T., & Ureche-Rangau, L. (2008). Does trading volume really explain stock returns volatility?. Journal of International Financial Markets, Institutions &Money, 18, 2016- 235.
  • Andersen, T.G. (1996). Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance, 51, 169-204.
  • Asai, M., & Unite, A. (2007). The Relationship between stock returns volatility and trading volume: The case of The Philippines. Applied Financial Economics, 18 (16), 1333- 1341.
  • Bohl, M. T., & Henke, H. (2003). Trading volume and stock market volatility: Polish case. International Review of Financial Analysis, 12, 513-525.
  • Boyacıoğlu, M., Güvenek, B., & Alptekin, V. (2010). Getiri Volatilitesi ile işlem hacmi arasındaki ilişki: İMKB’de ampirik bir çalışma. MUFAD, 38, 200-216.
  • Chuang, Wen-I, Liu, Hisang-His, & Susmel, R. (2012). The Bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility. Global Finance Journal, 23, 1-15.
  • Clark, P. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 31, 135-156.
  • Copeland, T.E. (1976). A model for asset trading under the assumption of sequential information arrival. Journal of Finance, 31, 1149-1168.
  • Crouch, R. L. (1970). The volume of transactions and price changes on the New York Stock Exchange. Financial Analysts Journal, 26(4), 104-109.
  • Çinko, M. (2015). Piyasa büyüklüğüne göre işlem hacmi-fiyat nedensellik ilişkisi. TİSK Akademi Dergisi, 136-153.
  • Darrat, A. F., Rahman, S., & Zhong, M. (2003). Intraday trading volume and return volatility of the djia stocks: A note. Journal of Banking & Finance, 27(10), 2035-2043.
  • Elmas, B., & Yıldırım, M. (2010). Kriz dönemlerinde hisse senedi fiyatı ile işlem hacmi ilişkisi: İMKB’de işlem gören bankacılık sektör hisseleri üzerine bir uygulama. Atatürk Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 37-46.
  • Epps, T. W., & Epps, M. L. (1976). The stochastic dependence of security price changes and transaction volumes: Implication for the mixture of distributions hypothesis, Econometrica, 44(2), 305-321.
  • Floros, C., & Vougas, D. V. (2007). Trading volume and returns relationship in Greek Stock Index Futures Market: GARCH vs. GMM. International Journal of Finance and Economics, 12, 98-115.
  • Gallo, G. M., & Pacini, B. (2000). The effects of trading activity on market volatility, The European Journal of Finance, 6, 163-175.
  • Girard, E., & Biswas, R. (2007). Trading volume and market volatility: Developed versus emerging stock markets, The Financial Review, 42, 429-459.
  • Godfrey, M. D, Granger, C. W. J., & Morgenstern, O. (1964). The random walk hypothesis of stock market behavior, Kyklos, 17(1), 1-30.
  • Gündüz, L., & Hatemi-J, A. (2005). Stock price and volume relation in emerging markets. Emerging Markets Finance and Trade, 41(1), 29-44.
  • Harris, L. (1983). The joint distribution of speculative prices and of daily trading volume, working paper, Los Angeles: University of Southern California, Department of Finance and Business Economics, 31-84.
  • Harris, L. (1986). A transaction data study of weekly and intraday patterns in stock returns. Journal of Financial Economics, 16, 99-117.
  • Huang, Bwo-Nung, & Yang, Chin-Wei. (2001). An empirical investigation of trading volume and return volatility of the Taiwan Stock Market. Global Finance Journal, 12, 55-77.
  • Jennings, R. H, Starks, L. T., & Fellingham, J. C. (1981). An equilibrium model of asset trading with sequential information arrival. Journal of Finance, 36, 143-161.
  • Kamath, R., & Wang, Y. (2006). The Causality between stock index returns and volumes in the Asian Equity Markets. Journal of International Business Research, 5(2), 63-75.
  • Kayalıdere, K., & Aktaş, H. (2009). İMKB’de fiyat-hacim ilişkisi-asimetrik etkileşim. Yönetim ve Ekonomi, 16(2), 49-62.
  • Kıran, B. (2010). İstanbul Menkul Kıymetler Borsası’nda işlem hacmi ve getiri volatilitesi. Doğuş Üniversitesi Dergisi, 11(1), 98-108.
  • Kıyılar, M. (1997). Etkin pazar kuramı ve etkin pazar kuramının İMKB’de irdelenmesi-test edilmesi, Sermaye Piyasası Kurulu, Yayın No: 86, Ankara.
  • Kocagil, A. E., & Shachmurove, Y. (1998). Return - volume dynamics in futures markets. The Journal of Futures Markets, 18(4), 399-426.
  • Lee, C. F., & Rui, O. M. (2000). Does trading volume contain information to predict stock returns? Evidence from China’s stock markets. Review of Quantitative Finance and Accounting, 14(4), 341-360.
  • LIorente, G., Michaely, R., Saar, G., & Wang, J. (2002). Dynamic volume-return relation of individual stocks. The Review of Financial Studies, 15(4), 1005-1047.
  • Mahajan, S., & Singh, B. (2009). The empirical investigation of relationship between return, volume and volatility dynamics in Indian Stock Market, Eurasian Journal of Business and Economics, 2(4), 113-137.
  • Medeiros, O. R., & Van Doornik, B. F. N. (2006). The empirical relationship between stock returns, return volatility and trading volume in the Brazilian Stock Market, SSRN Working Paper
  • Naik, P. K., & Padhi, P. (2015). Stock market volatility and equity trading volume: Empirical examination from Brazil, Russia, India and China (BRIC), Global Business Review, 28-45.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: An new approach. Ecometrica, 59(2), 347-371.
  • Pyun, C. S., Lee, S. Y., & 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.
  • Ragunathan, V., & Peker, A. (1997). Price variability, trading volume and market depth: Evidence from The Australian Futures Market. Applied Financial Economics,7 (5), 447-454.
  • Richardson, G., Sefcik, S. E., & Thompson, R. (1986). A test of dividend irrelavence using volume reaction to a change in divident policy. Journal of Financial Economics, 17, 313-333.
  • Umutlu, G. (2008). İşlem hacmi ve fiyat değişimleri arasındaki nedensellik ve dinamik ilişkiler: İMKB’de bir ampirik inceleme. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 231-246.
  • Wang, G. H. K., & Jot, Y. (2000). Trading volume, bid-ask spread, and price volatility in futures markets. The Journal of Futures Markets, 20(10), 943-970.
  • Wood, R. A., McInish, T. H., & Ord, J. K. (1985). An Investigation of Transaction Data for NYSE Stocks. Journal of Finance, 60, 723-739.
  • Ying, C.C. (1966). Stock Market Prices and Volumes of Sales. Econometrica, 34, 676-685.

HİSSE SENEDİ PİYASALARINDA İŞLEM HACMİ VE VOLATİLİTE İLİŞKİSİ: KIRILGAN BEŞLİ EKONOMİLER ÜZERİNE BİR İNCELEME

Yıl 2017, , 347 - 364, 01.04.2017
https://doi.org/10.17130/ijmeb.2017228688

Öz

Bu çalışma, hisse senedi piyasa volatilitesi ile işlem hacmi arasındaki ilişkinin KırılganBeşli BIITS olarak adlandırılan ekonomiler Brezilya, Endonezya, Hindistan, Güney Afrikave Türkiye üzerinde 2006-2016 dönemi için haftalık verilerle incelenmesini amaçlamaktadır.Çalışmada volatiliteye ilişkin asimetrinin tespit edilmesi adına öncelikle EGARCH 1,1 modeli tahmin edilmiş ve sonra işlem hacmi ve volatilite ilişkisini tespit edebilmek içinvolatilite modeline işlem hacmi ve işlem hacminin bir gecikmeli değeri dahil edilerek iki modeloluşturulmuştur. Çalışma sonuçlarına göre incelenen dönemde BIITS ülkeleri için haftalıkveriler kısıtı altında Karışık Dağılımlar Hipotezinin geçerli olduğunu söylemek mümkündür.

Kaynakça

  • Ahmed, H. J. A., Hassan, A., & Nasir, A. M. D. (2005). The relationship between trading volume, volatility and stock market returns: A test of mixed distribution hypothesis for a a pre-and post crisis on Kuala Lumpur Stock Exchange. Investment Management and Financial Innovations, 3, 146-158.
  • Akel, V. (2015). Kırılgan beşli ülkelerinin hisse senedi piyasaları arasındaki eşbütünleşme analizi, Uluslararası Yönetim İktisat ve İşletme Dergisi, 11(24), 75-96.
  • Akel, V. (2011). Kriz dönemlerinde finansal piyasalar arasındaki volatilite yayılma etkisi, Ankara: Detay Yayıncılık.
  • Alsubaie, A. N., & Najand, M. (2008). Trading volume, price momentum and the 52-week high price momentum strategy in the Saudi Stock Market. Journal of Multinational Financial Management, 19, 139–159.
  • Ananzeh, I. E., Jdaitawi, Q. M., & Al-Jayousi, A. M. (2013). Relationship between market volatiliy and trading volume: Evidence from Amman Stock Exchange. International Journal of Business and social Science, 4(16), 188-198.
  • Ane, T., & Ureche-Rangau, L. (2008). Does trading volume really explain stock returns volatility?. Journal of International Financial Markets, Institutions &Money, 18, 2016- 235.
  • Andersen, T.G. (1996). Return volatility and trading volume: An information flow interpretation of stochastic volatility. Journal of Finance, 51, 169-204.
  • Asai, M., & Unite, A. (2007). The Relationship between stock returns volatility and trading volume: The case of The Philippines. Applied Financial Economics, 18 (16), 1333- 1341.
  • Bohl, M. T., & Henke, H. (2003). Trading volume and stock market volatility: Polish case. International Review of Financial Analysis, 12, 513-525.
  • Boyacıoğlu, M., Güvenek, B., & Alptekin, V. (2010). Getiri Volatilitesi ile işlem hacmi arasındaki ilişki: İMKB’de ampirik bir çalışma. MUFAD, 38, 200-216.
  • Chuang, Wen-I, Liu, Hisang-His, & Susmel, R. (2012). The Bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility. Global Finance Journal, 23, 1-15.
  • Clark, P. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 31, 135-156.
  • Copeland, T.E. (1976). A model for asset trading under the assumption of sequential information arrival. Journal of Finance, 31, 1149-1168.
  • Crouch, R. L. (1970). The volume of transactions and price changes on the New York Stock Exchange. Financial Analysts Journal, 26(4), 104-109.
  • Çinko, M. (2015). Piyasa büyüklüğüne göre işlem hacmi-fiyat nedensellik ilişkisi. TİSK Akademi Dergisi, 136-153.
  • Darrat, A. F., Rahman, S., & Zhong, M. (2003). Intraday trading volume and return volatility of the djia stocks: A note. Journal of Banking & Finance, 27(10), 2035-2043.
  • Elmas, B., & Yıldırım, M. (2010). Kriz dönemlerinde hisse senedi fiyatı ile işlem hacmi ilişkisi: İMKB’de işlem gören bankacılık sektör hisseleri üzerine bir uygulama. Atatürk Üniversitesi, İktisadi ve İdari Bilimler Fakültesi Dergisi, 24(2), 37-46.
  • Epps, T. W., & Epps, M. L. (1976). The stochastic dependence of security price changes and transaction volumes: Implication for the mixture of distributions hypothesis, Econometrica, 44(2), 305-321.
  • Floros, C., & Vougas, D. V. (2007). Trading volume and returns relationship in Greek Stock Index Futures Market: GARCH vs. GMM. International Journal of Finance and Economics, 12, 98-115.
  • Gallo, G. M., & Pacini, B. (2000). The effects of trading activity on market volatility, The European Journal of Finance, 6, 163-175.
  • Girard, E., & Biswas, R. (2007). Trading volume and market volatility: Developed versus emerging stock markets, The Financial Review, 42, 429-459.
  • Godfrey, M. D, Granger, C. W. J., & Morgenstern, O. (1964). The random walk hypothesis of stock market behavior, Kyklos, 17(1), 1-30.
  • Gündüz, L., & Hatemi-J, A. (2005). Stock price and volume relation in emerging markets. Emerging Markets Finance and Trade, 41(1), 29-44.
  • Harris, L. (1983). The joint distribution of speculative prices and of daily trading volume, working paper, Los Angeles: University of Southern California, Department of Finance and Business Economics, 31-84.
  • Harris, L. (1986). A transaction data study of weekly and intraday patterns in stock returns. Journal of Financial Economics, 16, 99-117.
  • Huang, Bwo-Nung, & Yang, Chin-Wei. (2001). An empirical investigation of trading volume and return volatility of the Taiwan Stock Market. Global Finance Journal, 12, 55-77.
  • Jennings, R. H, Starks, L. T., & Fellingham, J. C. (1981). An equilibrium model of asset trading with sequential information arrival. Journal of Finance, 36, 143-161.
  • Kamath, R., & Wang, Y. (2006). The Causality between stock index returns and volumes in the Asian Equity Markets. Journal of International Business Research, 5(2), 63-75.
  • Kayalıdere, K., & Aktaş, H. (2009). İMKB’de fiyat-hacim ilişkisi-asimetrik etkileşim. Yönetim ve Ekonomi, 16(2), 49-62.
  • Kıran, B. (2010). İstanbul Menkul Kıymetler Borsası’nda işlem hacmi ve getiri volatilitesi. Doğuş Üniversitesi Dergisi, 11(1), 98-108.
  • Kıyılar, M. (1997). Etkin pazar kuramı ve etkin pazar kuramının İMKB’de irdelenmesi-test edilmesi, Sermaye Piyasası Kurulu, Yayın No: 86, Ankara.
  • Kocagil, A. E., & Shachmurove, Y. (1998). Return - volume dynamics in futures markets. The Journal of Futures Markets, 18(4), 399-426.
  • Lee, C. F., & Rui, O. M. (2000). Does trading volume contain information to predict stock returns? Evidence from China’s stock markets. Review of Quantitative Finance and Accounting, 14(4), 341-360.
  • LIorente, G., Michaely, R., Saar, G., & Wang, J. (2002). Dynamic volume-return relation of individual stocks. The Review of Financial Studies, 15(4), 1005-1047.
  • Mahajan, S., & Singh, B. (2009). The empirical investigation of relationship between return, volume and volatility dynamics in Indian Stock Market, Eurasian Journal of Business and Economics, 2(4), 113-137.
  • Medeiros, O. R., & Van Doornik, B. F. N. (2006). The empirical relationship between stock returns, return volatility and trading volume in the Brazilian Stock Market, SSRN Working Paper
  • Naik, P. K., & Padhi, P. (2015). Stock market volatility and equity trading volume: Empirical examination from Brazil, Russia, India and China (BRIC), Global Business Review, 28-45.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: An new approach. Ecometrica, 59(2), 347-371.
  • Pyun, C. S., Lee, S. Y., & 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.
  • Ragunathan, V., & Peker, A. (1997). Price variability, trading volume and market depth: Evidence from The Australian Futures Market. Applied Financial Economics,7 (5), 447-454.
  • Richardson, G., Sefcik, S. E., & Thompson, R. (1986). A test of dividend irrelavence using volume reaction to a change in divident policy. Journal of Financial Economics, 17, 313-333.
  • Umutlu, G. (2008). İşlem hacmi ve fiyat değişimleri arasındaki nedensellik ve dinamik ilişkiler: İMKB’de bir ampirik inceleme. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 10(1), 231-246.
  • Wang, G. H. K., & Jot, Y. (2000). Trading volume, bid-ask spread, and price volatility in futures markets. The Journal of Futures Markets, 20(10), 943-970.
  • Wood, R. A., McInish, T. H., & Ord, J. K. (1985). An Investigation of Transaction Data for NYSE Stocks. Journal of Finance, 60, 723-739.
  • Ying, C.C. (1966). Stock Market Prices and Volumes of Sales. Econometrica, 34, 676-685.
Toplam 45 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Sümeyra Gazel Bu kişi benim

Yayımlanma Tarihi 1 Nisan 2017
Yayımlandığı Sayı Yıl 2017

Kaynak Göster

APA Gazel, S. (2017). HİSSE SENEDİ PİYASALARINDA İŞLEM HACMİ VE VOLATİLİTE İLİŞKİSİ: KIRILGAN BEŞLİ EKONOMİLER ÜZERİNE BİR İNCELEME. Uluslararası Yönetim İktisat Ve İşletme Dergisi, 13(2), 347-364. https://doi.org/10.17130/ijmeb.2017228688