Highest Price and Trading Volume Relationship in Stock Indices: A Comporative Approach with Linear Analysis and Frequency Distribution Analysis

Yıl 2020, Cilt: 6 Sayı: 2, 157 - 173, 17.10.2019

Ayben Koy , Kerem Erdem Saffet Akdağ

Öz

Numerous academic studies have been conducted on the relationship between
transaction volume and prices of securities in financial markets, especially in
stock markets. This study differs from its examples in the literature with its
two characteristics: 1) the direction of the relationship changes while the price-volume
relationship in stock indices is compared with the highest price-volume
relationship realized during the day, and (2) the strength of the relationship
has been varying in terms of frequency domains. The findings of the study,
which analyzed the daily data of the BIST30 index in 2010-2019 period, are
obtained by VAR analysis and Granger causality test, as well as frequency
distribution of Breitung-Candelon (2006). 

Anahtar Kelimeler

Price-Volume, Breitung-Candelon

Pay Endekslerinde En Yüksek Fiyat Oluşumu ile İşlem Hacmi Arasındaki İlişki: Doğrusal Analizler ve Frekans Dağılımı Analizleri ile Karşılaştırmalı bir Yaklaşım

Öz

Pay piyasaları başta olmak üzere finans piyasalarında
menkul kıymetlerin işlem hacmi ve fiyatları arasındaki ilişki üzerine çok
sayıda akademik çalışma yapılmıştır. Bu çalışma iki özelliği ile literatürdeki
örneklerinden farklılık arzetmektedir: 1) pay senedi endekslerindeki fiyat-hacim
ilişkisi, gün içinde gerçekleşen en yüksek fiyat-hacim ilişkisi ile
karşılaştırıldığında ilişkinin yönünün değiştiği, (2) frekans dağılımları
açısından ele alındığında ise ilişkinin frekansa göre farklılaştığı gösterilmiştir.
2010-2019 döneminde BİST30 endeksinin günlük verilerinin analiz edildiği
çalışmanın bulguları, VAR analizi ve Granger nedensellik testi yanında
Breitung-Candelon (2006)’un frekans dağılımı nedensellik analizi ile elde
edilmiştir.  

Anahtar Kelimeler

Fiyat-Hacim, Breitung-Candelon, frekans dağılımı

Kaynakça

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