İstanbul menkul kıymetler borsası ' nda işlem hacmi ve getiri volatilitesi

Bu çalışmada, işlem hacmi ve İstanbul Menkul Kıymetler Borsası bileşik endeks (İMKB-100) getiri volatilitesi arasındaki ilişki, 1990-2008 dönemleri için GARCH, EGARCH ve TGARCH modellerine işlem hacmi ve haftanın günleri etkileri ilave edilerek araştırılmaktadır. Bulgular, getiri volatilitesinde haftanın günleri ve kaldıraç etkisinin var olduğuna işaret etmektedir. GARCH ve TGARCH modellerin tahmin sonuçları, işlem hacminin getiri volatilitesi üzerindeki etkisinin anlamlı olduğunu fakat pozitif olmadığını göstermektedir. Bu bulgular, İMKB’de “Ardışık Bilgi Akışı” ve “Karışık Dağılımlar” hipotezlerinin geçerliliğine aykırı kanıtlar sağlamaktadır

Trade volume and return volatility in İstanbul stock exchange

This paper examines the relationship between trade volume and Istanbul Stock Exchange composite index (ISE-100) return volatility for the period 1990-2008 by including the trade volume and the day of the week effect in to the GARCH, EGARCH and TGARCH models. The findings indicate the presence of the day of the week effect and leverage effect on return volatility. The estimation results of the GARCH and TGARCH models show that the effect of trade volume on return volatility is significant in the statistical sense but not positive. These findings provide strong evidence against the validity of Sequential Arrival Information and Mixed Distribution hypothesis in ISE.

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