GRANGER CAUSALITY BETWEEN STOCK RETURNS and TRADING VOLUME: EVIDENCE FROM AN EMERGING MARKET

Bu makalede 1993-2000 yılları arasında İMKB'de işlem gören hisse senetlerinin getiri oranları ile piyasaya giren bilginin bir göstergesi olarak kullanılan işlem hacmi değişim oranı arasındaki Granger nedensellik ilişkisi araştırılmış, yeni bilgi girişinin varlık getiri oranları üzerindeki gecikmeli etkisi incelenmiştir. Çalışmada iki ayrı VAR süreci kullanılarak getiri oranları ile işlem hacmi arasında iki yönlü Granger nedenselliğin varlığı konusunda deliller elde edilmiştir. Getiri oranlarının mutlak değerleri ile işlem hacmi arasındaki nedensellik, söz konusu dönemde hisse senetlerinin % 89'unda anlamlı bulunmuş, tüm hisse senetlerinin getiri oranlarının ise gecikmeli getiri oranları ile anlamlı bir ilişkisi olduğu tespit edilmiştir. Ulaşılan sonuçlar, piyasaya giren bilginin gecikmeli olarak fiyatlara yansıdığı yönündedir

GRANGER CAUSALITY BETWEEN STOCK RETURNS and TRADING VOLUME: EVIDENCE FROM AN EMERGING MARKET

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