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Risk-Return-Volume Relationship in an Emerging Stock Market

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Salman, Ferhan

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Abstract

This paper aims to provide empirical evidence for the risk-return-volume relationship in the Istanbul Stock Exchange (ISE) for the period 2 January 1992 to 29 May 1998. The Generalized Autoregressive Conditional Heteroscedasticity-in-Mean (GARCH-M) specification reveals that daily return volatility is time-varying and highly persistent. In addition, return is positively associated with risk, i.e. the estimate of the conditional standard deviation. Contemporaneous changes in volume have a positive effect on returns. The previous day's change in volume affects conditional volatility of returns positively. Copyright 2002 by Taylor and Francis Group

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 9 (2002)
Issue (Month): 8 (June)
Pages: 549-52
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Handle: RePEc:taf:apeclt:v:9:y:2002:i:8:p:549-52

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Balaban, Ercan, 1995. "Day of the Week Effects: New Evidence from an Emerging Stock Market," Applied Economics Letters, Taylor and Francis Journals, vol. 2(5), pages 139-43, May. [Downloadable!] (restricted)
  2. Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March. [Downloadable!] (restricted)
  3. Basci, Erdem & Ozyildirim, Suheyla & Aydogan, Kursat, 1996. "A note on price-volume dynamics in an emerging stock market," Journal of Banking & Finance, Elsevier, vol. 20(2), pages 389-400, March. [Downloadable!] (restricted)
  4. Balaban, Ercan & Kunter, Kursat, 1997. "A Note on the Efficiency of Financial Markets in a Developing Country," Applied Economics Letters, Taylor and Francis Journals, vol. 4(2), pages 109-12, February. [Downloadable!] (restricted)
  5. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
  6. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March. [Downloadable!]
  7. Breusch, T S & Godfrey, L G, 1986. "Data Transformation Tests," Economic Journal, Royal Economic Society, vol. 96(380a), pages 47-58, Supplemen. [Downloadable!] (restricted)
  8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ferhan Salman & Aslihan Salih, 1999. "Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting," Working Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  2. Ferhan Salman, 2005. "Information, Capital Gains Taxes & New York Stock Exchange," Working Papers 0513, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
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