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Journals / Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi / 2008 / Cilt: 10 - Sayı: 1

The Causal and Dynamic Relationship Between Stock Price and Trading Volume Chamges: An Empirical Study in ISE

İşlem Hacmi ve Fiyat Değişimleri Arasındaki Nedensellik ve Dinamik İlişkiler: İMKB'de Bir Ampirik İnceleme

Göknur UMUTLU
Pages
231–246
Publication Date
2022-10-18
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The influence of past stock price and trading volume data on today’s trading volume and the instrument effect of stock prices on trading volume in future argues capital markets in Turkey is not efficient.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:Trading volume and stock prices are two important financial indicators that are affected by each other.
📊
Key Findings & Data:This study which covers 2002-2007 period and uses ISE National All Index daily closing prices and trading volume data, tests whether stock price changes and trading volume changes have dynamic and causal relationship.
💡
Conclusion & Impact:The influence of past stock price and trading volume data on today’s trading volume and the instrument effect of stock prices on trading volume in future argues capital markets in Turkey is not efficient.
🔬Design:Research Article
📍Scope:2002-2007 Verileri
⚙️Variables:Domain Parameters

Abstract

Trading volume and stock prices are two important financial indicators that are affected by each other. This study which covers 2002-2007 period and uses ISE National All Index daily closing prices and trading volume data, tests whether stock price changes and trading volume changes have dynamic and causal relationship. Granger causality test methodology in this study provides evidence of significant unidirectional causality from stock price changes to trading volume changes. VAR analysis shows four day lagged stock price and trading volume changes can affect trading volume changes in future. In addition variance decomposition and impulse response functions display that any shock on price and trading volume changes can affect trading volume changes in future dynamically. The influence of past stock price and trading volume data on today’s trading volume and the instrument effect of stock prices on trading volume in future argues capital markets in Turkey is not efficient.

Özet

İşlem hacmi ve hisse senedi fiyatları birbirinden oldukça etkilenen iki önemli finansal göstergedir. Bu çalışmada 2002-2007 yılları arasında, İMKB Ulusal Tüm Endeksi’nin günlük kapanış fiyatları ve işlem hacmi verileri kullanılarak, hisse senedi fiyatları ve işlem hacmi değişimleri arasında dinamik ve nedensel bir ilişki olup olmadığı test edilmiştir. Çalışmada uygulanan Granger nedensellik testi sonucunda, fiyat değişimlerinden işlem hacmi değişimlerine doğru tek yönlü bir nedensellik bulunmuştur. VAR analizleri, fiyat ve işlem hacmi değişmelerinin geçmiş dört günlük değerlerinin, işlem hacminin gelecekteki değişimlerini etkileyebileceğini göstermektedir. Ayrıca varyans ayrıştırması ve etki-tepki fonksiyonları, fiyatlar ve işlem hacmi değişimleri üzerinde meydana gelecek herhangi bir şokun işlem hacmi değişimlerini gelecekte de dinamik olarak etkileyebileceğini ortaya koymuştur. Geçmişteki fiyat ve işlem hacmi verilerinin şu anki işlem hacmini etkilemesi ve gelecekte de fiyatların işlem hacmini etkileyebilen bir araç olarak kullanılabilmesi, Türkiye’de sermaye piyasasının etkin olmadığını kanıtlamaktadır.

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Cite This Article

UMUTLU, G. (2022). The Causal and Dynamic Relationship Between Stock Price and Trading Volume Chamges: An Empirical Study in ISE. Gazi Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, Cilt: 10 - Sayı: 1, 231–246. https://ajindex.com/articles/523027

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