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Trading Volume, Volatility and GARCH Effects in Borsa Istanbul

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Strategic Design and Innovative Thinking in Business Operations

Part of the book series: Contributions to Management Science ((MANAGEMENT SC.))

Abstract

The purpose of this study is to analyze the relationship between sector indices of Borsa Istanbul in Turkey and trading volume in the framework of Mixture of Distribution Hypothesis (MDH) by using daily data covering period 23.10.1987–26.01.2017. As a model, GARCH model is used. The results of the GARCH (1,1) suggests that Borsa Istanbul sector indices show strong persistence. The findings are consistent with MDH suggesting the existence of positive volume–volatility relationships. When trading volume is added to the variance equation, the model shows the existence of a positive and statistically significant relationships between trading volume and the volatility of the sector indices suggesting that the number of information events makes the variability of the sector indices to increase. The volatility persistence also decreases in the case that the variance equation covers the volume data.

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Author information

Authors and Affiliations

  1. Ankara Yildirim Beyazit University, Ankara, Turkey

    Ayhan Kapusuzoglu & Nildag Basak Ceylan

Authors
  1. Ayhan Kapusuzoglu
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  2. Nildag Basak Ceylan
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Corresponding author

Correspondence to Ayhan Kapusuzoglu .

Editor information

Editors and Affiliations

  1. Istanbul Medipol University, Istanbul, Turkey

    Hasan Dincer

  2. Istanbul Medipol University, Istanbul, Turkey

    Ümit Hacioglu

  3. Istanbul Medipol University, Istanbul, Turkey

    Serhat Yüksel

Key Concepts and Words

Stock Market

The stock market refers to the collection of markets and exchanges where equities and other sorts of securities are issued and traded.

Trading Volume

The number of shares that are transacted every day.

GARCH

The generalized autoregressive conditional heteroskedasticity (GARCH) process which is used to estimate volatility in financial markets

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Kapusuzoglu, A., Ceylan, N.B. (2018). Trading Volume, Volatility and GARCH Effects in Borsa Istanbul. In: Dincer, H., Hacioglu, Ü., Yüksel, S. (eds) Strategic Design and Innovative Thinking in Business Operations. Contributions to Management Science. Springer, Cham. https://doi.org/10.1007/978-3-319-77622-4_17

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