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

Yıl 2017, Cilt: 13 Sayı: 2, 347 - 364, 01.04.2017

Sümeyra Gazel

https://doi.org/10.17130/ijmeb.2017228688

Cited By: 5

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

Anahtar Kelimeler

Price-Volume Relationship, Asymmetric Volatility, EGARCH, Fragile Five Economies, BIITS

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

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.

Anahtar Kelimeler

Fiyat-Hacim İlişkisi, Asimetrik Volatilite, EGARCH, Kırılgan Beşli Ekonomiler, BIITS

Kaynakça

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