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An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index

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  • Ece Oral

Abstract

It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that are heavy tailed. Additionally, Stable distribution allows not only for leptokurtosis but also skewness. Researchers that investigate the relationship between stock return volatility and trading volume have found a positive correlation between the volatility of returns and the volume traded. This paper focuses on this relationship by assuming the Student’s t and the Stable distributions for innovations. In this paper, GARCH and Threshold GARCH (TGARCH) models are applied on the Istanbul Stock Exchange National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading volume.

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  • Ece Oral, 2012. "An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 2(5), pages 1-9.
    • Handle: RePEc:spt:apfiba:v:2:y:2012:i:5:f:2_5_9
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    Cited by:

    1. Mai, Nhat Chi, 2016. "The Influence Of Macroeconomic Announcements Into Vietnamese Stock Market Volatility," OSF Preprints ydmhx, Center for Open Science.
    2. Senarathne, Chamil W., . "The Information Flow Interpretation of Margin Debt Value Data: Evidence from New York Stock Exchange," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(1).

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