GRANGER CAUSALITY BETWEEN STOCK RETURNS and TRADING VOLUME: EVIDENCE FROM AN EMERGING MARKET

Öz

GRANGER CAUSALITY BETWEEN STOCK RETURNS and TRADING VOLUME: EVIDENCE FROM AN EMERGING MARKET

Öz

Bu makalede 1993-2000 yılları arasında İMKB'de işlem gören hisse senetlerinin getiri oranları ile piyasaya giren bilginin bir göstergesi olarak kullanılan işlem hacmi değişim oranı arasındaki Granger nedensellik ilişkisi araştırılmış, yeni bilgi girişinin varlık getiri oranları üzerindeki gecikmeli etkisi incelenmiştir. Çalışmada iki ayrı VAR süreci kullanılarak getiri oranları ile işlem hacmi arasında iki yönlü Granger nedenselliğin varlığı konusunda deliller elde edilmiştir. Getiri oranlarının mutlak değerleri ile işlem hacmi arasındaki nedensellik, söz konusu dönemde hisse senetlerinin % 89'unda anlamlı bulunmuş, tüm hisse senetlerinin getiri oranlarının ise gecikmeli getiri oranları ile anlamlı bir ilişkisi olduğu tespit edilmiştir. Ulaşılan sonuçlar, piyasaya giren bilginin gecikmeli olarak fiyatlara yansıdığı yönündedir

Anahtar Kelimeler

• Hisse senetleri,Getiri oranları,Granger,Granger nedenselliği

Kaynakça

1. [1] SHARPE, W., "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk", The Journal of Finance, Vol:19, No:3, September 1964, pp.425-442.
2. [2] LINTNER, J., "The Valuation of Risk assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets", Review of Economics and Statistics, Vol:47, February 1965, pp. 13-37.
3. [3] MOSSIN, J., "Equilibrium in a Capital Asset Market", Econometrica,.Vol:34, October 1966, pp.768-783.
4. [4] ROSS, S.A., "The ArbitrageThewy of Capital Asset Pricing", Journal of E-conomic Theory, Vol:13, 1976, pp.341-360.
5. [5] FERSON, W.H.; KANDEL, S.; STAMBAUGH, R.F., "Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market. Betas", Journal of Vol:42, No2, June l987, pp.201-220.
6. [6] BOLLERSLEV, T.; ENGLE, R.F.; WOOLDRIDGE, J.M., "A Capital Asset Pricing Model with Time-varying Covariances", Journal of Political Economy, Vol:96, No:1,1988, pp.116-131.
7. [7] HARVEY, C.R., "Time-Varying Conditional Covariences in Tests of Asset Pricing Models", Journal of Financial Economics, Vol:24, 1989, pp.289-317.
8. [8] BODURTHA, J.N.Jr.; MARK, N.C., "Testing the CAPM with Time Varying Risks and Returns", The Journal of Finance, Vol:46, No:4, September 1991, pp.1485-1505.

9. [9] NG, L., "Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach", The Journal of Finance, Vol:46, No:4, September 1991, pp.1507-1521.
10. [10] FERSON, W.E.; HARVEY, C.R., "The Variation of Economic Risk Premiums", Journal of Political Economy, Vol:99, No:2, 1991, pp.385-415.
11. [11] FERSON, W.E.; KORAJCZYK, R.A., "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?", Journal of Business, Vol:68, No:3, 1995, pp.309-349.
12. [12] FAMA, E.F., "Efficient Capital Markets: A Review of Theory and Empirical Work", The Journal of Finance, Vol:25, May 1970, pp.383-417.
13. [13] CLARK, P., "A Subordinated Stochastic Process Model with Finite Variances for Speculative Prices", Econometrica, Vol:41, 1973, pp.135-155.
14. [14] COPELAND, T.E., "A Model of Asset Trading Under The Assumption of Sequential Information Arrival", The Journal of Finance, Vol: 31, No:4, September 1976, pp.1149-1168.
15. [15] EPPS, T.; EPPS, M., "The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture of Distributions Hypothesis", Econometrica, Vol:44, 1976, pp.305-321.
16. [16] HIEMSTRA, C.; JONES, J.D., "Testing for the linear and Nonlinear Granger Causality in the Stock Price-Volume Relation, Journal of Finance, Vol:49, No:25, December 1994, pp. 1639-1664.
17. [17] SOLIBAKKE, P.B., "The Conditional CAPM and Trading Volume. Assuming Trading Volume is an Instrument for the Information Flow: The Case of the Thinly Traded Norwegian Equity Market", Working Paper, Molde College, 1998.
18. [18] LAMOUREUX, C.; LASTRAPES, W., "Heteroscedasticity in Stock Return Data: Volume Versus GARCH Efects", Journal of Finance, Vol:45, 1990, pp.221-229.
19. [19] CHORDIA, T.; SWAMINATHAN, B., "Trading Volume and Cross-Autocorrelations in Stock Returns", Journal of Finance, Vol:60, N:2, 2000, pp.913-935.
20. [20] BLUME, L.; EASLEY, D.; O’HARA, M., "Market Statistics and Technical Analysis: The Role of Volume", The Journal Finance, Vol: 49, No:1, March 1994, pp.153-181.
21. [21] KARPOFF, J., "The Relation Between Price Changes and Trading Volume: A Survey", Journal of Financial and Quantitative Analysis, Vol:22, 1987, pp.109-126.
22. [22] GALLANT, R.; ROSSI, P.; TAUCHEN, G., "Stock Prices and Volume", Review of Financial Studies, Vol:5, 1992, pp.199-242.
23. [23] JAIN, P.; JOH, G., "The Dependence Between Hourly Prices and Trading Volume", Journal of Financial and Quantitative Analysis, Vol:23, 1988, pp.269-283.
24. [24] ROGALSKI, R., "The Dependence of Prices and Volume", Review of Economics and Statistics, Vol:36, 1978, pp.268-274.
25. [25] SMIRLOCK, M.; STARKS, L., "An Empirical Analysis of the Stock Price-Volume Relationship", Journal of Banking and Finance, Vol:121, 1988, pp.31-41.
26. [26] TAUCHEN, G.E., PITTS, M., "The Price Variability-Volume Relationship on the Speculative Markets", Econometrica, Vol:51, March 1983, pp.485-505.
27. [27] HARRIS, L., "Cross-Security Tests of the Mixture of Distributions Hypothesis", Journal of Financial and Quantitative Analysis, Vol:21, March 1986, pp.39-46.
28. [28] JENNINGS, R.H.; STARKS, L.T.; FELLINHHAM, J.C., "An Equilibrium Model of Asset Trading with Sequential Information Arrival", Journal of Finance, Vol:36, No:1, March 1981, pp.143-161.
29. [29] LAKPNISHOK, J.; SMIDT, S., "Past Price Changes and Current Trading Volume", The Journal of Portfolio Management, Vol:15, 1989, pp.18-24.
30. [30] ADMATI, A.R.; PFLEIDERER, P., "A Theory of lntraday Patterns: Volume and Price Variability", The Review of Financial Studies, Vol:1, Spring, 1988, pp.1-40.
31. [31] GUJARATI, D., Basic Econometrics, 3rd Ed., McMillan, New York, 1995.
32. [32] KENNEDY, P., A Guide to Econometrics, 4th Ed., Blackweel Publ., Malden, Maussechusetts, 1998.
33. [33] JONSTON, J.; JOHN, D., Econometric Methods, 4th Ed., McGraw Hill, Singapore, 1997.
34. [34] GRANGER, C.W.J., "Investigating Causal Relations by Econometric: Models and Cross-Spectral Methods", Econometrica, July 1996, pp.424-438.
35. [35] DARNELL, A.C., A Dictionary of Econometrics, Hants, England, Edward Elgar, 1994.
36. [36] JUDGE, G. et.al., Introduction to the Theory and Practice of Econometrics, 2nd Ed., John Wiley, New York, 1988.
37. [37] CAMPBELL, J.Y.; GROSSMAN, S.J.; WANG, J., "Trading Volume and Serial Correlation in Stock Returns", The Quarterly Journal of Economics, Vol:CVlIl, November 1993, pp.905-939.
38. [38] DlCKEY, D.A.; FULLER, W.A., "Distribution on The Estimators of Autoregressive Time Series with Unit Root", Journal of The American Statistical Association, 74, 1979, pp.427-431.
39. [39] AKAIKE, H., "A New Look at The Statistical Model Identification", IEEE Transactions on Automatic Control, 19, 1974.