Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms’ evidence

Nevin Yörük, Cumhur Erdem and Meziyet Sema Erdem

Applied Financial Economics Letters, 2006, vol. 2, issue 3, pages 165-171

Abstract: In this study, the causality test, proposed by Peguin-Feissolle and Terasvirta (1999), based on a Taylor expansion of the nonlinear model, is used to examine the dynamic relationship between daily Turkish banking sector stock price and trading volume. Evidence is found of significant linear and nonlinear causality between these two series.

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