Turk Sermaye Piyasasinda Fiyat ve Islem Hacmi Iliskisi: Zamanla Degisen Asimetrik Nedensellik Analizi

Veli Yilanci and Seref Bozoklu ()
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Seref Bozoklu: Istanbul Universitesi, Iktisat Fakultesi, Iktisat Bolumu

Ege Academic Review, 2014, vol. 14, issue 2, 211-220

Abstract: Bu calisma, Turk sermaye piyasasinda hisse senedi fiyatlari ile islem hacmi arasindaki nedensellik iliskisini gunluk veriler araciligiyla 1990-2012 donemi icin arastirmaktadir. Literaturdeki onceki calismalardan farkli olarak, pozitif ve negatif soklara verilen tepkilerin farkli olabilecegi ve ayni zamanda elde edilen sonuclarin zamana bagli olarak degisebilecegi dikkate alinarak, zamanla degisen asimetrik nedensellik testi kullanilmistir. Sonuclar, islem hacminin bilesenlerinden hisse senedi fiyatlarinin bilesenlerine dogru tek yonlu bir nedensellik iliskisi oldugunu ve bu iliskinin zamana bagli olarak degistigini gostermektedir.

Keywords: Turk sermaye piyasasi; zamanla degisen asimetrik nedensellik testi; fiyat-hacim iliskisi (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (2)

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