An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national -100 Index

Ece Oral ()

Journal of Applied Finance & Banking, 2012, vol. 2, issue 5, 9

Abstract: It is a well-known fact that most of the asset returns tend to be skewed and heavytailed. Heavy tailed distributions such as the Student’s t distribution and Stable distribution are commonly used in finance to model asset returns that are heavy tailed. Additionally, Stable distribution allows not only for leptokurtosis but also skewness. Researchers that investigate the relationship between stock return volatility and trading volume have found a positive correlation between the volatility of returns and the volume traded. This paper focuses on this relationship by assuming the Student’s t and the Stable distributions for innovations. In this paper, GARCH and Threshold GARCH (TGARCH) models are applied on the Istanbul Stock Exchange National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading volume.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.scienpress.com/Upload/JAFB%2fVol%202_5_9.pdf (application/pdf)

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:spt:apfiba:v:2:y:2012:i:5:f:2_5_9

Access Statistics for this article

More articles in Journal of Applied Finance & Banking from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().