The relationship between stock price index and trading volume in the Istanbul Stock Exchange
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In this study, the long-term relationship and the short-term causality between stock price index and the trading volume and the direction of the causality is investigated in the context of a small stock market, the Istanbul Stock Exchange in Türkiye by using cointegration theory and Vector Error Correction Model. The data used includes daily closing values of ISE composite index and daily aggregate number of share units traded for the period 29/02/1988-30/09/1994. The emprical results reveal evidence of strong linear impact from lagged stock prices to current and iliture trading volume, which can be explained by both non-tax-related trading models and noise trading models, whereas weak evidence of a linear impact from lagged volume to current and future stock prices, which can be explained by sequential information arrival models and the mixture of distributions model.
Unit Root Test
Vector Error Correction Model
HG5706.5.I88 T65 1995
Efficient market theory.
Demand for money--Econometric models.