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.
Volume (Year): 2 (2006)
Issue (Month): 3 (May)
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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.
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"Why Does Stock Market Volatility Change Over Time?,"
NBER Working Papers
2798, National Bureau of Economic Research, Inc.
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- 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.
- Simon Kwan, 2002. "Bank security prices and market discipline," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue dec20.
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