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İstanbul Menkul Kıymetler Borsası’nda İşlem Hacmi ve Getiri Volatilitesi = Trade Volume and Return Volatility in Istanbul Stock Exchange

Author(s): Burcu KIRAN

Journal: Dogus University Journal
ISSN 1302-6739

Volume: 11;
Issue: 1;
Start page: 98;
Date: 2010;
Original page

Keywords: İşlem Hacmi | Getiri Volatilitesi | Haftanın Günleri Etkisi | Koşullu Değişen Varyans Modelleri | Trade Volume | Return Volatility | Day of the Week Effect | Conditional Heteroskedasticity Models

This paper examines the relationship between trade volume and Istanbul Stock Exchange composite index (ISE-100) return volatility for the period 1990-2008 by including the trade volume and the day of the week effect in to the GARCH, EGARCH and TGARCH models. The findings indicate the presence of the day of the week effect and leverage effect on return volatility. The estimation results of the GARCH and TGARCH models show that the effect of trade volume on return volatility is significant in the statistical sense but not positive. These findings provide strong evidence against the validity of Sequential Arrival Information and Mixed Distribution hypothesis in ISE.

Tango Rapperswil
Tango Rapperswil

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