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The Performance of the Istanbul Stock Exchange during the Russian Crisis

Author

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  • Aydin Yüksel

Abstract

This paper uses a unique data set to examine the possibility of a structural change in contemporaneous volume–return relation on the Istanbul Stock Exchange (ISE) during the Russian crisis in 1998. The comparison of the relationship during the crisis period to those during pre- and post-crisis periods shows that there was a structural change regarding the price impact of trading volume. The evidence indicates that traders needed to give considerably larger price concessions during the crisis period. The structural change was transitory since the cost of getting liquidity is shown to fall back during the post-crisis period. This study also provides the first evidence on univariate and joint characteristics of fifteen-minute common stock trading volume and returns on the ISE. Both average volume and return show significant univariate intraday variations, and there exists a positive contemporaneous relation between these variables. Moreover, there is weak evidence that in a GARCH setting volume has an impact on conditional return volatility.

Suggested Citation

  • Aydin Yüksel, 2002. "The Performance of the Istanbul Stock Exchange during the Russian Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 38(6), pages 78-99, December.
    • Handle: RePEc:mes:emfitr:v:38:y:2002:i:6:p:78-99
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    Cited by:

    1. Hakan Berument & N. Nergiz Dincer, 2004. "Do Capital Flows Improve Macroeconomic Performance in Emerging Markets? : The Turkish Experience," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 40(4), pages 20-32, July.
    2. Z. Wang & J. Yang & D. A. Bessler, 2003. "Financial crisis and African stock market integration," Applied Economics Letters, Taylor & Francis Journals, vol. 10(9), pages 527-533.

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