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Granger Causality between Stock Prices and Trading Volume: Evidence from Turkey

Author

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  • Elif Akben-Selcuk

    (Kadir Has University)

Abstract

The objective of this study is to investigate the dynamic relation between daily BIST-100 index returns and percentage changes in Borsa Istanbul trading volume. A vector autoregression (VAR) model is constructed to test for Granger causality between stock prices and volume. The causality structure of the two variables is analyzed using the approach by Engle-Granger (1987). Analysis results show the existence of univariate causality from stock returns to changes in trading volume. This implies that past stock prices can be used to predict futures changes in trading volume. Furthermore, the results suggest that Borsa Istanbul is still inefficient since information contained in past prices is useful for making forecasts.

Suggested Citation

  • Elif Akben-Selcuk, 2016. "Granger Causality between Stock Prices and Trading Volume: Evidence from Turkey," Proceedings of International Academic Conferences 3505908, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iacpro:3505908
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    File URL: https://iises.net/proceedings/22nd-international-academic-conference-lisbon/table-of-content/detail?cid=35&iid=001&rid=5908
    File Function: First version, 2016
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    More about this item

    Keywords

    Granger causality; stock prices; trading volume; Turkey.;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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