The Relation Between Trading Volume and Return Volatility: Evidence from Borsa Istanbul

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dc.contributor.authorİkizlerli, Deniz
dc.date.accessioned2024-07-18T20:07:00Z
dc.date.available2024-07-18T20:07:00Z
dc.date.issued2022
dc.departmentİstanbul Billgi Üniversitesien_US
dc.description.abstractThis study investigates the relationship between volume and volatility in the context of the Mixture of Distribution Hypothesis (MDH) and Sequential Information Arrival Hypothesis (SIAH) with respect to company size in Borsa Istanbul (BIST). Employing the generalized method of moments (GMM) method and granger causality tests, we find statistical evidence supporting the MDH for large-cap stocks, whereas we document no evidence of contemporaneous interaction between volume and volatility for mid-cap and small-cap stocks. This suggests that the dissemination of information in the stock market appears to be primarily through large firms. Our findings for large cap stocks have not changed across economic states. In terms of SIAH, for the stocks of companies of any size, we document uni-directional causality running from volatility to volume but not the other way around which is not consistent with the SIAH. However, we find supporting evidence of the SIAH for large cap stocks during the expansion periods.en_US
dc.identifier.doi10.20409/berj.2022.392
dc.identifier.endpage623en_US
dc.identifier.issn2619-9491
dc.identifier.issue4en_US
dc.identifier.startpage607en_US
dc.identifier.trdizinid1171687en_US
dc.identifier.urihttps://doi.org/10.20409/berj.2022.392
dc.identifier.urihttps://search.trdizin.gov.tr/yayin/detay/1171687
dc.identifier.urihttps://hdl.handle.net/11411/5722
dc.identifier.volume13en_US
dc.indekslendigikaynakTR-Dizinen_US
dc.language.isoenen_US
dc.relation.ispartofBusiness and Economics Research Journalen_US
dc.relation.publicationcategoryMakale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.titleThe Relation Between Trading Volume and Return Volatility: Evidence from Borsa Istanbulen_US
dc.typeArticleen_US

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