Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence
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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Volume (Year): 2 (2006)
Issue (Month): 3 (May)
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References listed on IDEAS
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- 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.
- 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.
- 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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"Why Does Stock Market Volatility Change Over Time?,"
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- Péguin-Feissolle, Anne & Teräsvirta, Timo, 1999.
"A general framework for testing the Granger noncausality hypothesis,"
SSE/EFI Working Paper Series in Economics and Finance
343, Stockholm School of Economics.
- 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.
- Simon H. Kwan, 2002. "Bank security prices and market discipline," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue dec20.
- 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.
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