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
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.:
- Schwert, G William, 1989.
" Why Does Stock Market Volatility Change over Time?,"
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- G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
- 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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- 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 379-396, October.
- Peguin-Feissolle, A. & Terasvirta, T., 1999.
"A General Framework for Testing the Granger Noncausality Hypothesis,"
99a42, Universite Aix-Marseille III.
- 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.
- 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.
- Simon H. Kwan, 2002. "Bank security prices and market discipline," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue dec20.
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