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İMKB’ de Fiyat ve Hacim Arasındaki Nedensellik İlişkisi

Causality Relationship between Price and Volume in ISE

Journal Name:

  • Celal Bayar Üniversitesi Sosyal Bilimler Enstitüsü Dergisi

Publication Year:

  • 2009

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
In an attempt to analyze the causality relationships between stock prices and trading volume, stock prices and the daily number of transactions, the daily number of transactions and prices, trading volume and prices of those securities located in ISE-30 and ISE-50 within the time interval of January 2001 and September 2008 comprised of 1845 observations realized continuously, this work has utilized daily closing prices and total trading volume series in regard to the stocks in the analysis. The causality relationship among the series was analyzed with the aid of Granger causality tests. The findings of the research reveal that, in the time interval in question, changes in stocks prices, in particular for 5 lags and more, have been determined to be the source of Granger causality for the daily number of transactions and trading volume variables.
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Abstract (Original Language): 
Ocak 2001 – Eylül 2008 (1845 gözlem) döneminde devamlı olarak İMKB-30 ve İMKB-50’de yer alan hisse senetlerinin fiyat - işlem hacmi, fiyat - işlem adedi, işlem adedi - fiyat ve işlem hacmi - fiyat nedenselliklerinin araştırılması amaçlanan çalışmada hisse senetlerine ilişkin günlük kapanış fiyat ve toplam işlem hacmi serileri kullanılmıştır. Seriler arasındaki nedensellik ilişkisi Granger testi kullanılarak araştırılmıştır. Araştırma bulguları söz konusu dönemde özellikle beş gecikme ve daha fazlası için hisse senedi fiyat değişimlerinin, işlem adedi ve işlem hacmi değişimlerinin Granger nedeni olduğuna işaret etmektedir
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  • 1
115-124
  • Turkish

REFERENCES

References: 

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