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An Empirical Analysis of Trading Volume and Return Volatility Relationship in The Turkish Stock Market

Author

Listed:
  • Hasan Baklaci

    (Department of International Trade and Finance, Faculty of Economics and Administrative Sciences)

  • Adnan Kasman

    (Department of Economics, Faculty of Business)

Abstract

This paper investigates the volume-return volatility relationship for 25 individual stocks in the Turkish stock market, using daily data for the period 1998-2005. The results indicate that trading volume significantly contributes to the return volatility process of stocks in Turkish stock market, as suggested in many studies. On the other hand, the results also signify that the trading volume has no significant effect on the reduction of the volatility persistence for majority of stocks in the sample, challenging the presence of “Mixed Distribution Hypothesis” in Turkish stock market. These results are consistent with the empirical findings of a number of studies in emerging markets, including with those done in Turkish stock market.

Suggested Citation

  • Hasan Baklaci & Adnan Kasman, 2006. "An Empirical Analysis of Trading Volume and Return Volatility Relationship in The Turkish Stock Market," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 6(2), pages 115-125.
    • Handle: RePEc:ege:journl:v:6:y:2006:i:2:p:115-125
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    References listed on IDEAS

    as
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    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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