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dc.contributor.advisorSelçuk, Faruk
dc.contributor.authorÜnal, ATolga
dc.date.accessioned2016-01-08T20:07:39Z
dc.date.available2016-01-08T20:07:39Z
dc.date.issued1995
dc.identifier.urihttp://hdl.handle.net/11693/17159
dc.descriptionAnkara : The Department of Economics and the Institute of Economics and Social Sciences of Bilkent Univ., 1995.en_US
dc.descriptionThesis(Master's) -- Bilkent University, 1995.en_US
dc.descriptionIncludes bibliographical refences.en_US
dc.description.abstractIn this study, the effect of daily trading volume on stock return volatility is analyzed using the data from Istanbul Securities Exchange (ISE). Generalized Autoregressive Conditional Heteroscedasticity (GARCH) process is employed to model the persistence in volatility of daily returns and to capture the relation between daily price increments and the trading volume. Results approve the consistency of GARCH process in modeling stock returns and indicate positive relation between the volatility of daily returns and trading volume. Also, a reduction of persistence in volatility is observed with the inclusion of trading volume in the model.en_US
dc.description.statementofresponsibilityÜnal, ATolgaen_US
dc.format.extent80 leaves, tablesen_US
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectIstanbul Securities Exchange (ISE)en_US
dc.subjectStock Return Volatilityen_US
dc.subjectTrading Volumeen_US
dc.subjectARCHen_US
dc.subjectGARCHen_US
dc.subject.lccHB141 .U53 1995en_US
dc.subject.lcshEconometric models.en_US
dc.subject.lcshHeteroscedasticity.en_US
dc.subject.lcshStock exchanges--Turkey.en_US
dc.titleGARCH models and an application to stock return volatility with the effect of daily trading volume in Istanbul Securities Exchangeen_US
dc.typeThesisen_US
dc.departmentDepartment of Economicsen_US
dc.publisherBilkent Universityen_US
dc.description.degreeM.S.en_US


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