An Empirical Analysis of Trading Volume and Return Volatility Relationship in The Turkish Stock Market

Hasan Baklaci () and Adnan Kasman ()
Additional contact information
Hasan Baklaci: Department of International Trade and Finance, Faculty of Economics and Administrative Sciences
Adnan Kasman: Department of Economics, Faculty of Business

Ege Academic Review, 2006, vol. 6, issue 2, 115-125

Abstract: This paper investigates the volume-return volatility relationship for 25 individual stocks in the Turkish stock market, using daily data for the period 1998-2005. The results indicate that trading volume significantly contributes to the return volatility process of stocks in Turkish stock market, as suggested in many studies. On the other hand, the results also signify that the trading volume has no significant effect on the reduction of the volatility persistence for majority of stocks in the sample, challenging the presence of “Mixed Distribution Hypothesis” in Turkish stock market. These results are consistent with the empirical findings of a number of studies in emerging markets, including with those done in Turkish stock market.

JEL-codes: D53 (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.onlinedergi.com/MakaleDosyalari/51/PDF2006_2_11.pdf (application/pdf)
http://www.onlinedergi.com/eab/arsiv/arsivDetay.aspx?yil=2006&peryot=2 Website of the journal issue (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ege:journl:v:6:y:2006:i:2:p:115-125

Access Statistics for this article

Ege Academic Review is currently edited by Özlem Önder

More articles in Ege Academic Review from Ege University Faculty of Economics and Administrative Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Baris Gök ().