Pay Endekslerinde En Yüksek Fiyat Oluşumu ile İşlem Hacmi Arasındaki İlişki: Doğrusal Analizler ve Frekans Alanı Nedensellik Analizi ile Karşılaştırmalı Bir Yaklaşım

Pay piyasaları başta olmak üzere finans piyasalarında menkul kıymetlerin işlem hacmi ve fiyatları arasındaki ilişki üzerine çok sayıda akademik çalışma yapılmıştır. Bu çalışma iki özelliği ile literatürdeki örneklerinden farklılık arz etmektedir. Çalışmada (1) pay endekslerindeki fiyathacim ilişkisi, gün içinde gerçekleşen en yüksek fiyat-hacim ilişkisi ile karşılaştırıldığında ilişkinin yönünün değiştiği; (2) frekans dağılımları açısından ele alındığında ise ilişkinin frekansa göre farklılaştığı gösterilmiştir. 2010-2019 döneminde BİST30 fiyat endeksinin fiyat ve hacim verilerinin analiz edildiği çalışmanın bulguları, VAR analizi ve Granger nedensellik testi yanında Breitung-Candelon’un (2006) frekans alanı nedensellik analizi ile elde edilmiştir. Elde edilen bulgular fiyat-hacim ilişkisinin varlığının, fiyat verisinin türüne; yönünün ise frekansa bağlı olarak değiştiğini göstermektedir.

Highest Price and Trading Volume Relationship in Stock Indices: A Comparative Approach with Linear Analysis and Frequency Domain Causality Analysis

Numerous academic studies have been conducted on the relationship between transaction volume and prices of securities in financial markets, especially in stock markets. This study differs from its examples in the literature with its two characteristics: 1) The direction of the relationship changes while the price-volume relationship in stock indices is compared with the highest price-volume relationship realized during the day, and (2) The strength of the relationship has been varying in terms of frequency domains. The findings of the study, which analyzed the daily data of the BIST30 index in 2010-2019 period, are obtained by VAR analysis and Granger causality test, as well as frequency domain cusality of Breitung-Candelon (2006). The findings show that the existence of the price-volume relationship varies depending on the type of data and the direction of the relationship varies by frequency.

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