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Granger Causality Between Stock Price and Trading Volume: A Stock-Based Analysis in the ISE

Bekir Elmas and M.Sinan Temurlenk

Istanbul Stock Exchange Review, 2009, vol. 11, issue 43, 1-16

Abstract: The purpose of this study is to test causal relationships between stock price and trading volume for 9 corporation stock where of the selected from among ISE-30 and companies operating in different sectors in the ISE. The data is based on session’s observations approximately 2500 and the period covers 2 January 2003-31 December 2007. Study using Granger causality test; 9 companies whose subject to the application from 7 to the one-way causality from price (return) to trading volume has been determined.

Keywords: Stock Price- Trading Volume; Causality; ISE (search for similar items in EconPapers)
JEL-codes: C10 G10 (search for similar items in EconPapers)
Date: 2009
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Handle: RePEc:bor:iserev:v:11:y:2009:i:43:p:1-16