Trading Volume, Volatility and GARCH Effects in Borsa Istanbul
STRATEGIC DESIGN AND INNOVATIVE THINKING IN BUSINESS OPERATIONS: THE ROLE OF BUSINESS CULTURE AND RISK MANAGEMENT, ss.333-347, 2018 (Hakemli Dergi)
- Yayın Türü: Makale / Tam Makale
- Basım Tarihi: 2018
- Doi Numarası: 10.1007/978-3-319-77622-4_17
- Dergi Adı: STRATEGIC DESIGN AND INNOVATIVE THINKING IN BUSINESS OPERATIONS: THE ROLE OF BUSINESS CULTURE AND RISK MANAGEMENT
- Sayfa Sayıları: ss.333-347
- Ankara Yıldırım Beyazıt Üniversitesi Adresli: Hayır
Özet
The purpose of this study is to analyze the relationship between sector indices of Borsa Istanbul in Turkey and trading volume in the framework of Mixture of Distribution Hypothesis (MDH) by using daily data covering period 23.10.1987-26.01.2017. As a model, GARCH model is used. The results of the GARCH (1,1) suggests that Borsa Istanbul sector indices show strong persistence. The findings are consistent with MDH suggesting the existence of positive volume-volatility relationships. When trading volume is added to the variance equation, the model shows the existence of a positive and statistically significant relationships between trading volume and the volatility of the sector indices suggesting that the number of information events makes the variability of the sector indices to increase. The volatility persistence also decreases in the case that the variance equation covers the volume data.