Yönetim ve Ekonomi (Jan 2009)
İMKB’de Fiyat-Hacim İlişkisi - Asimetrik Etkileşim(Price-Volume Relationship in ISE – Asymmetric Interaction)
Abstract
In this paper, we tried to examine whether the price-volume relationship exists in ISE, and if so whether or not it is asymmetric. Daily price and trading volume series of stocks, which have been traded in ISE-30 and ISE-50 on a continual basis between January 2001 and September 2008, were used in this study. The findings of the study support the asymmetric relationship between price and volume, and further confirm the Mixture of Distribution Hypothesis. Consequently, the positive relationship between return (return change and volatility) and volume is said to be validated.
