The relationship between stock price index and trading volume in the Istanbul Stock Exchange

Simple item page
buir.advisorMuradoğlu, Gülnur
dc.contributor.authorTokat, Fatma
dc.date.accessioned2016-01-08T20:12:50Z
dc.date.available2016-01-08T20:12:50Z
dc.date.issued1995
dc.departmentDepartment of Managementen_US
dc.descriptionAnkara : The Department of Management and the Graduate School of Business Administration of Bilkent Univ., 1995.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 1995.en_US
dc.descriptionIncludes bibliographical references leaves 51-53.en_US
dc.description.abstractIn 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.en_US
dc.description.degreeM.B.Aen_US
dc.description.statementofresponsibilityTokat, Fatmaen_US
dc.format.extentiii, 70 leaves, tablesen_US
dc.identifier.itemidBILKUTUPB053801
dc.identifier.urihttp://hdl.handle.net/11693/17719
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectGranger Causalityen_US
dc.subjectUnit Root Testen_US
dc.subjectCo-Integration Testen_US
dc.subjectVector Error Correction Modelen_US
dc.subject.lccHG5706.5.I88 T65 1995en_US
dc.subject.lcshStock exchanges--Turkey.en_US
dc.subject.lcshEfficient market theory.en_US
dc.subject.lcshDemand for money--Econometric models.en_US
dc.subject.lcshCointegration.en_US
dc.titleThe relationship between stock price index and trading volume in the Istanbul Stock Exchangeen_US
dc.typeThesisen_US

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
0008415.pdf
Size:
1.13 MB
Format:
Adobe Portable Document Format
Description:
Full printable version
Download

Collections

Dept. of Management - Master's degree