BORSA İSTANBUL'DA FİYAT-İŞLEM HACMİ İLİŞKİSİ: FREKANS ALANI NEDENSELLİK ANALİZİ
Yazarlar (2)
Doç. Dr. Yüksel İLTAŞ
Kırşehir Ahi Evran Üniversitesi, Türkiye
| Makale Türü | Özgün Makale (Diğer hakemli uluslarası dergilerde yayınlanan tam makale) | ||
| Dergi Adı | Ahi Evran Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi | ||
| Dergi ISSN | 2618-6217 | ||
| Dergi Tarandığı Indeksler | Asos, indexcopernicus | ||
| Makale Dili | Türkçe | Basım Tarihi | 06-2024 |
| Cilt / Sayı / Sayfa | 8 / 1 / 29–41 | DOI | – |
| Makale Linki | https://dergipark.org.tr/tr/pub/aeuiibfd/issue/85530/1483696 | ||
| Özet |
| The purpose of this study is to investigate the possible causal relationship between the BIST100 index and BIST100 trading volume using daily frequency data for the period 2017: 01-2021: 12. The causality relationship between the series, determined to be non-stationary at level values using the RALS-LM unit root tests by Meng et al.(2014) and Meng, Lee, and Payne (2017), was analyzed using the frequency domain causality test by Breitung and Candelon (2006). The findings reveal a causal relationship from stock prices to trading volume at the 1% and 5% statistical significance levels in the long and medium term. However, no causal relationship was found from trading volume to stock prices in the long and medium term. Nevertheless, there is a causal relationship from trading volume to stock prices in the short term. |
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