• About
  • Policies
  • What is open access
  • Library
  • Contact
Advanced search
      View Item 
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Business Administration
      • Department of Management
      • View Item
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Business Administration
      • Department of Management
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      The performance of the istanbul stock exchange during the Russian crisis

      Thumbnail
      View / Download
      1.3 Mb
      Author(s)
      Yüksel, A.
      Date
      2002
      Source Title
      Emerging Markets Finance & Trade
      Print ISSN
      1540-496X
      Electronic ISSN
      1558-0938
      Publisher
      Routledge
      Volume
      38
      Issue
      6
      Pages
      78 - 99
      Language
      English
      Type
      Article
      Item Usage Stats
      118
      views
      59
      downloads
      Abstract
      This paper uses a unique data set to examine the possibility of a structural change in contemporaneous volume-return relation on the Istanbul Stock Exchange (ISE) during the Russian crisis in 1998. The comparison of the relationship during the crisis period to those during pre- and post-crisis periods shows that there was a structural change regarding the price impact of trading volume. The evidence indicates that traders needed to give considerably larger price concessions during the crisis period. The structural change was transitory since the cost of getting liquidity is shown to fall back during the post-crisis period. This study also provides the first evidence on univariate and joint characteristics of fifteen-minute common stock trading volume and returns on the ISE. Both average volume and return show significant univariate intraday variations, and there exists a positive contemporaneous relation between these variables. Moreover, there is weak evidence that in a GARCH setting volume has an impact on conditional return volatility.
      Keywords
      GARCH
      Impact of trading
      Structural change
      Permalink
      http://hdl.handle.net/11693/24590
      Collections
      • Department of Management 610
      Show full item record

      Browse

      All of BUIRCommunities & CollectionsTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCoursesThis CollectionTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCourses

      My Account

      Login

      Statistics

      View Usage StatisticsView Google Analytics Statistics

      Bilkent University

      If you have trouble accessing this page and need to request an alternate format, contact the site administrator. Phone: (312) 290 2976
      © Bilkent University - Library IT

      Contact Us | Send Feedback | Off-Campus Access | Admin | Privacy