A note on price-volume dynamics in an emerging stock market
Please cite this item using this persistent URLhttp://hdl.handle.net/11693/13593
Journal of Banking & Finance
- Department of Management 
We present a continuum economy with risk neutral agents having heterogeneous expectations and restricted short sales. A stochastic version of the model is also formulated and the resulting time series behavior of the price and volume series under a specific money supply process derived. The implications of the model are tested in the emerging Turkish stock market where institutional arrangements comply with the restrictions of the model. The results indicate that, as predicted by the model, price levels and trading volume are cointegrated. The error correction models are also estimated and found to be significant in most cases.
Başci, E., Özyildirim, S., & Aydoǧan, K. (1996). A note on price-volume dynamics in an emerging stock market. Journal of Banking & Finance, 20(2), 389-400.