Trading volume and stock market volatility: evidence from emerging stock markets

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dc.authorid0000-0002-8716-9049
dc.authorid0000-0001-9428-0426
dc.contributor.authorGürsoy, Güneren_US
dc.contributor.authorYüksel, Aslıen_US
dc.contributor.authorYüksel, Aydınen_US
dc.date.accessioned2023-03-30T10:50:15Z
dc.date.available2023-03-30T10:50:15Z
dc.date.issued2009-01-15
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractBased on the 'mixture of distribution' hypothesis, this paper investigates the relationship between trading volume and conditional volatility of returns by using 12 emerging stock market indices over the period between January 2000 and August 2006. The results show that when total trading volume is included in the conditional volatility equation as a proxy for information flow, a moderate level of decline in volatility persistence was observed only for two stock markets. In four stock markets the decline in conditional volatility persistence is very small. On the other hand, for the remaining markets, total trading volume is a poor proxy for information flow. The findings are consistent with the findings of prior research, which suggest that volume may be a good proxy for stock-level analysis, but not for market-level analysis. Furthermore, following Wagner and Marsh (2005) and Arago and Nieto (2005) the relationship between unexpected trading volume (surprise trading volume as an alternative proxy for information flow) and conditional volatility is analyzed. The findings illustrate that for most of the markets, the relationship between surprise volume and conditional volatility is statistically significant.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationGürsoy, G., Yüksel, A. & Yüksel, A. (2009). Trading volume and stock market volatility: evidence from emerging stock markets. Investment Management and Financial Innovations, 5(4), 200-210.en_US
dc.identifier.endpage210
dc.identifier.issn1810-4967
dc.identifier.issue4
dc.identifier.startpage200
dc.identifier.urihttps://hdl.handle.net/11729/5457
dc.identifier.volume5
dc.indekslendigikaynakScopusen_US
dc.institutionauthorYüksel, Aydınen_US
dc.institutionauthorid0000-0001-9428-0426
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherLLC CPC Business Perspectivesen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectEmerging stock marketsen_US
dc.subjectGARCH modelsen_US
dc.subjectInformation flowen_US
dc.subjectVolatility persistenceen_US
dc.titleTrading volume and stock market volatility: evidence from emerging stock marketsen_US
dc.typeArticleen_US
dspace.entity.typePublication

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