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- Title
Pay Endekslerinde En Yüksek Fiyat Oluşumu ile İşlem Hacmi Arasındaki İlişki: Doğrusal Analizler ve Frekans Alanı Nedensellik Analizi ile Karşılaştırmalı Bir Yaklaşım.
- Authors
ERDEM, Kerem; KOY, Ayben; AKDAĞ, Saffet
- Abstract
Numerous academic studies have been conducted on the relationship between transaction volume and prices of securities in financial markets, especially in stock markets. This study differs from its examples in the literature with its two characteristics: 1) The direction of the relationship changes while the price-volume relationship in stock indices is compared with the highest price-volume relationship realized during the day, and (2) The strength of the relationship has been varying in terms of frequency domains. The findings of the study, which analyzed the daily data of the BIST30 index in 2010-2019 period, are obtained by VAR analysis and Granger causality test, as well as frequency domain cusality of Breitung-Candelon (2006). The findings show that the existence of the price-volume relationship varies depending on the type of data and the direction of the relationship varies by frequency.
- Subjects
PRICES of securities; STOCK exchanges; FINANCIAL markets; FINANCIAL security; STOCK price indexes; GRANGER causality test
- Publication
Uluslararasi Ekonomi ve Yenilik Dergisi, 2020, Vol 6, Issue 2, p157
- ISSN
2149-6838
- Publication type
Article