Hisse Senedi Hacminin Fiyatı Üzerindeki Asimetrik Etkisinin İncelenmesi: Tekstil Hisseleri Üzerine Bir Uygulama

Bu çalışmada 2011-2016 dönemi boyunca BIST'te işlem gören Tekstil sektörü hisse senetleri için hacim ve fiyat arasındaki doğrusal olmayan ilişki günlük veriler kullanılarak incelenmiştir. Hacmin fiyat üzerindeki asimetrik etkisini test etmek için Lineer Olmayan Otoregresif Dağıtılmış Gecikmeler (NARDL) modeli kullanılmıştır. Sınır testinden elde edilen sonuca göre, Ateks, Bossa ve Mndrs hisse senetleri için fiyat ve hacim arasında eşbütünleşik ilişki olduğu test edilmiştir. Diğer hisse senetleri için olmasa da, Ateks hisse senedi hacminin, fiyatı üzerinde uzun dönemde asimetrik etkisi olduğu görülmüştür. Son olarak, Ateks, Bossa ve Mndr'ları hisse senetlerinde kısa dönemde hacmin fiyat üzerinde asimetrik etkisi olduğu ortaya koyulmuştur.

Testing Nonlinear Effect of Volume on Price: Evidence from Textile Sector Stocks in BIST

In this paper examines the nonlinear relationship between volume and price for Textile sector stocks trading in BIST over period 2011-2016 using daily data. We use Nonlinear Autoregressive Distributed Lags (NARDL) model to test asymmetric impact of volume on price. The result from bound test indicates that null of cointegration hypothesis rejects for Ateks, Bossa and Mndrs stocks. We find significant long-run asymmetric effect of volume on price for Ateks while not for other stocks. It is also found that volume affects price asymmetrically in the short-run for Ateks, Bossa and Mndrs.

Keywords:

Stock Market, Volume, Price NARDL, Textile Sector,

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