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Risk-return-volume relationship in an emerging stock market

  • Ferhan Salman

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File URL: http://www.tcmb.gov.tr/wps/wcm/connect/c924ac03-ffa3-4223-9948-325a32264e33/dpaper1.pdf?MOD=AJPERES&CACHEID=c924ac03-ffa3-4223-9948-325a32264e33
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Paper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Discussion Papers with number 9901.

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Date of creation: 1999
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Handle: RePEc:tcb:dpaper:9901
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  1. Breusch, T S & Godfrey, L G, 1986. "Data Transformation Tests," Economic Journal, Royal Economic Society, vol. 96(380a), pages 47-58, Supplemen.
  2. Tim Bollerslev & Jeffrey M. Wooldridge, 1988. "Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariances," Working papers 505, Massachusetts Institute of Technology (MIT), Department of Economics.
  3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  4. 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.
  5. Ercan Balaban, 1995. "Day of the week effects: new evidence from an emerging stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 2(5), pages 139-143.
  6. Ercan Balaban & Kursat Kunter, 1997. "A note on the efficiency of financial markets in a developing country," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 109-112.
  7. 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.
  8. 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 221-29, March.
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