IDEAS home Printed from https://ideas.repec.org/a/ege/journl/v6y2006i2p115-125.html
   My bibliography  Save this article

An Empirical Analysis of Trading Volume and Return Volatility Relationship in The Turkish Stock Market

Author

Listed:
  • Hasan Baklaci

    () (Department of International Trade and Finance, Faculty of Economics and Administrative Sciences)

  • Adnan Kasman

    () (Department of Economics, Faculty of Business)

Abstract

This paper investigates the volume-return volatility relationship for 25 individual stocks in the Turkish stock market, using daily data for the period 1998-2005. The results indicate that trading volume significantly contributes to the return volatility process of stocks in Turkish stock market, as suggested in many studies. On the other hand, the results also signify that the trading volume has no significant effect on the reduction of the volatility persistence for majority of stocks in the sample, challenging the presence of “Mixed Distribution Hypothesis” in Turkish stock market. These results are consistent with the empirical findings of a number of studies in emerging markets, including with those done in Turkish stock market.

Suggested Citation

  • Hasan Baklaci & Adnan Kasman, 2006. "An Empirical Analysis of Trading Volume and Return Volatility Relationship in The Turkish Stock Market," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 6(2), pages 115-125.
  • Handle: RePEc:ege:journl:v:6:y:2006:i:2:p:115-125
    as

    Download full text from publisher

    File URL: http://www.onlinedergi.com/MakaleDosyalari/51/PDF2006_2_11.pdf
    Download Restriction: no

    File URL: http://www.onlinedergi.com/eab/arsiv/arsivDetay.aspx?yil=2006&peryot=2
    File Function: Website of the journal issue
    Download Restriction: no

    References listed on IDEAS

    as
    1. 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 221-229, March.
    2. 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.
    3. Giampiero Gallo & Barbara Pacini, 2000. "The effects of trading activity on market volatility," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 163-175.
    4. Ferhan Salman, 1999. "Risk-return-volume relationship in an emerging stock market," Discussion Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    5. Lamoureux, Christopher G & Lastrapes, William D, 1994. "Endogenous Trading Volume and Momentum in Stock-Return Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 253-260, April.
    6. Chen, Gong-meng & Firth, Michael & Rui, Oliver M, 2001. "The Dynamic Relation between Stock Returns, Trading Volume, and Volatility," The Financial Review, Eastern Finance Association, vol. 36(3), pages 153-173, August.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ege:journl:v:6:y:2006:i:2:p:115-125. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Baris Gök). General contact details of provider: http://edirc.repec.org/data/iiegetr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.