İMKB'de fiyat-hacim ilişkisi-Asimetrik etkileşim

Bu çalısmada İMKB’de işlem gören hisse senetlerine iliskin fiyat-hacim iliskisinin varlıgı ve iliski varsa bu iliskinin asimetrik olup olmadıgının arastırılması amaçlanmıstır. Ocak 2001 – Eylül 2008 (1845 gözlem) döneminde devamlı olarak İMKB-30 ve İMKB-50’de yer alan hisse senetlerinin günlük fiyat - islem hacmi serileri kullanılmıstır. Arastırma bulguları fiyat-hacim iliskisinin asimetrik nitelikte oldugunu desteklemektedir. Söz konusu sonuç Karısım Dagılımı Hipotezi’ni (MDH) de dogrulamaktadır. Dolayısıyla getiriler (getiri degisimi-volatilite) ve hacim arasında pozitif korelasyon oldugu ifade edilebilecektir.

Price-volume relationship in ISE – Asymmetric interaction

In this paper, we tried to examine whether the price-volume relationship exists in ISE, and if so whether or not it is asymmetric. Daily price and trading volume series of stocks, which have been traded in ISE-30 and ISE-50 on a continual basis between January 2001 and September 2008, were used in this study. The findings of the study support the asymmetric relationship between price and volume, and further confirm the Mixture of Distribution Hypothesis. Consequently, the positive relationship between return (return change and volatility) and volume is said to be validated

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