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Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence

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  • Nevin Yörük
  • Cumhur Erdem
  • Meziyet Sema Erdem
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    Abstract

    In this study, the causality test, proposed by Peguin-Feissolle and Terasvirta (1999), based on a Taylor expansion of the nonlinear model, is used to examine the dynamic relationship between daily Turkish banking sector stock price and trading volume. Evidence is found of significant linear and nonlinear causality between these two series.

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    Bibliographic Info

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

    Volume (Year): 2 (2006)
    Issue (Month): 3 (May)
    Pages: 165-171

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    Handle: RePEc:taf:apfelt:v:2:y:2006:i:3:p:165-171

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    1. Silvapulle, Param & Choi, Jong-Seo, 1999. "Testing for linear and nonlinear granger causality in the stock price-volume relation: Korean evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 59-76.
    2. Foster, F Douglas & Viswanathan, S, 1995. "Can Speculative Trading Explain the Volume-Volatility Relation?," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(4), pages 379-96, October.
    3. Peguin-Feissolle, A. & Terasvirta, T., 1999. "A General Framework for Testing the Granger Noncausality Hypothesis," G.R.E.Q.A.M. 99a42, Universite Aix-Marseille III.
    4. G. William Schwert, 1990. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
    5. 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.
    6. Simon Kwan, 2002. "Bank security prices and market discipline," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue dec20.
    7. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
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