İşlem hacmi ve getiri volatilitesi arasındaki ilişkiler: Türk vadeli işlem piyasalarındaki endeks sözleşmeler için dağılım karışımı hipotezinin testi

Bu çalışmanın amacı, Türk vadeli işlem piyasalarında işlem hacmi ve getiri volatilitesi arasındaki dinamik ilişkileri ortaya koymaktır. Çalışmada işlem hacminin getiri volatilitesi üzerinde herhangi bir etkisinin olup olmadığı EGARCH modeli tarafından açıklanmıştır. Araştırma sonuçlarına göre işlem hacmi, koşullu varyans denklemine açıklayıcı değişken olarak ilave edildiğinde getiri volatilitesi üzerindeki GARCH kalıcılığı azalmıştır. Bu sebepten işlem hacminin getiri volatilitesini açıklamakta bir gösterge olarak kullanılabileceği kanıtlanmıştır. Granger nedensellik test sonuçları göstermektedir ki iki değişken arasında herhangi bir öncülardıl ilişki söz konusu değildir. Bu sonuç vadeli piyasaların dağılım karışımı hipotezini destekler kanıtlar sunduğunu göstermektedir.

The relationship between trading volume and return volatility: A test of mixed distribution hypothesis for index futures on Turkish derivatives exchange

The aim of this paper is to investigate the dynamic relationships between trading volume and return volatility in Turkish derivatives exchange. In this study, whether trading volume has any effect or not on return volatility is determined by EGARCH model. Research results show that when the trading volume was added as an explanatory variable to the conditional variance equation, the GARCH affect in return volatility decreased. For this reason, it was proven that the trading volume can be used as an indicator for return volatility. Furthermore, Granger causality test results proved that there is no lead-lag relations between these variables. This result can be interpreted as futures market presents proofs supporting mixture of distribution hypothesis.

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