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İMKB'de Fiyat-Hacim İlişkisi - Asimetrik Etkileşim

Price-Volume Relationship in ISE - Asymmetric Interaction

Journal Name:

  • Celal Bayar Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi

Publication Year:

  • 2009

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
In this paper, we tried to examine whether the price-volume relationship exists in ISE, and if so whether or not it is asymmetric. Daily price and trading volume series of stocks, which have been traded in ISE-30 and ISE-50 on a continual basis between January 2001 and September 2008, were used in this study. The findings of the study support the asymmetric relationship between price and volume, and further confirm the Mixture of Distribution Hypothesis. Consequently, the positive relationship between return (return change and volatility) and volume is said to be validated.
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Abstract (Original Language): 
Bu çalışmada İMKB'de işlem gören hisse senetlerine ilişkin fiyat-hacim ilişkisinin varlığı ve ilişki varsa bu ilişkinin asimetrik olup olmadığının araştırılması amaçlanmıştır. Ocak 2001 -Eylül 2008 (1845 gözlem) döneminde devamlı olarak İMKB-30 ve İMKB-50'de yer alan hisse senetlerinin günlük fiyat - işlem hacmi serileri kullanılmıştır. Araştırma bulguları fiyat-hacim ilişkisinin asimetrik nitelikte olduğunu desteklemektedir. Söz konusu sonuç Karışım Dağılımı Hipotezi'ni (MDH) de doğrulamaktadır. Dolayısıyla getiriler (getiri değişimi-volatilite) ve hacim arasında pozitif korelasyon olduğu ifade edilebilecektir.
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  • 2
49
62
  • Turkish

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REFERENCES

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