Stock price and volume relation in emerging markets

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dc.contributor.authorGündüz, L
dc.contributor.authorHatemi-J, A
dc.date.accessioned2024-03-13T10:30:23Z
dc.date.available2024-03-13T10:30:23Z
dc.date.issued2005
dc.departmentİstanbul Beykent Üniversitesien_US
dc.description6th ERC/METU International Conference on Economics -- SEP 11-14, 2002 -- Ankara, TURKEYen_US
dc.description.abstractThis paper explores the causal relationship between stock prices and volume figures for stock markets in the Czech Republic, Hungary, Poland, Russia, and Turkey. Prior to running causality tests, the time series properties of the data are carefully investigated and special attention is given to the choice of optimal lag order Granger causality tests, based on the Toda-Yamamoto (1995) procedure, reveal that there is no causal relationship between the variables in the Czech Republic. In Hungary, there is a bidirectional causality irrespective of volume or market turnover tested. In Poland, while there is bidirectional causality between stock prices and volume, there exists a unidirectional causality running from market turnover to stock prices. The stock prices unidirectionally cause both volume and market turnover without any feedback in the case of Russia and Turkey. These results have important implications regarding market efficiency and the effects of different market characteristics on the stock price/volume relation.en_US
dc.description.sponsorshipMiddle E Tech Univ, Econ Res Ctren_US
dc.identifier.endpage44en_US
dc.identifier.issn1540-496X
dc.identifier.issn1558-0938
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-17444422853en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage29en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12662/3315
dc.identifier.volume41en_US
dc.identifier.wosWOS:000227785100003en_US
dc.identifier.wosqualityQ4en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherRoutledge Journals, Taylor & Francis Ltden_US
dc.relation.ispartofEmerging Markets Finance And Tradeen_US
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectEastern Europeen_US
dc.subjectgranger noncausality testen_US
dc.subjectmarket turnoveren_US
dc.subjectstock pricesen_US
dc.subjectToda-Yamamoto procedureen_US
dc.subjectTurkeyen_US
dc.subjectvolumeen_US
dc.titleStock price and volume relation in emerging marketsen_US
dc.typeConference Objecten_US

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