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Granger Causality Between Stock Price and Trading Volume: A Stock-Based Analysis in the ISE

Author

Listed:
  • Bekir Elmas
  • M.Sinan Temurlenk

Abstract

The purpose of this study is to test causal relationships between stock price and trading volume for 9 corporation stock where of the selected from among ISE-30 and companies operating in different sectors in the ISE. The data is based on session’s observations approximately 2500 and the period covers 2 January 2003-31 December 2007. Study using Granger causality test; 9 companies whose subject to the application from 7 to the one-way causality from price (return) to trading volume has been determined.

Suggested Citation

  • Bekir Elmas & M.Sinan Temurlenk, 2009. "Granger Causality Between Stock Price and Trading Volume: A Stock-Based Analysis in the ISE," Istanbul Stock Exchange Review, Research and Business Development Department, Borsa Istanbul, vol. 11(43), pages 1-16.
    • Handle: RePEc:bor:iserev:v:11:y:2009:i:43:p:1-16
    as

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    File URL: http://www.borsaistanbul.com/datum/imkbdergi/EN/ISE_Review_43.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Stock Price- Trading Volume; Causality; ISE;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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