THE RELATIONSHIP BETWEEN PRICE AND TRADING VOLUME IN BIST SECTOR INDEXES: FINDINGS FROM FREQUENCY DOMAIN CAUSALITY TEST

Kemal Özdemir; Yüksel İltaş; Yusuf Kaderli

Makale detayları

THE RELATIONSHIP BETWEEN PRICE AND TRADING VOLUME IN BIST SECTOR INDEXES: FINDINGS FROM FREQUENCY DOMAIN CAUSALITY TEST

Yazarlar:

Kemal Özdemir | Yüksel İltaş | Yusuf Kaderli

Yayıncı:

Erciyes University

Dergi:

Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 64, pp.63-71

Belge Tipi:

Makale

Yayın Tarihi:

4/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001288012

pISSN:

1301-3688

Anahtar kelimeler:

Özet:

 This paper aims to investigate the relationship between price and trading volume in BIST Industrial, BIST Banks, BIST Information Technology, BIST Food, Beverage, BIST Hold and Investment, BIST Wood, Paper, Printing, BIST Chemistry, Petrol, Plastic, BIST Basic Metal, BIST Metal Products, Machine, BIST Non-Metal Min. Product, BIST Textile, Leather, BIST Tourism, BIST Transportation, BIST Financials, and BIST Technology indices using daily data for the period 02.01.2015-31.12.2021 with frequency domain causality test. According to Breitung and Candelon 2006 frequency causality test results, it has been found that there was a unidirectional causality relationship at all frequencies from the index prices to the index trade volume for lnXUSIN, lnXBLSM, lnXGIDA, lnXHOLD, lnXKAGT, lnXKMYA, lnXMANA, lnXMESY, lnXTAST, lnXTEKS, lnXTRZM, lnXULAS, lnXUMAL and lnXUTEK. For the lnXTCRT indice, no causality relationship was found from price to trade volume in any term. According to Breitung and Candelon 2006 frequency domain causality test, the causality relationship from trade volume to price has been determined in the LNXBANK indice at long-term frequencies.

 This paper aims to investigate the relationship between price and trading volume in BIST Industrial, BIST Banks, BIST Information Technology, BIST Food, Beverage, BIST Hold and Investment, BIST Wood, Paper, Printing, BIST Chemistry, Petrol, Plastic, BIST Basic Metal, BIST Metal Products, Machine, BIST Non-Metal Min. Product, BIST Textile, Leather, BIST Tourism, BIST Transportation, BIST Financials, and BIST Technology indices using daily data for the period 02.01.2015-31.12.2021 with frequency domain causality test. According to Breitung and Candelon 2006 frequency causality test results, it has been found that there was a unidirectional causality relationship at all frequencies from the index prices to the index trade volume for lnXUSIN, lnXBLSM, lnXGIDA, lnXHOLD, lnXKAGT, lnXKMYA, lnXMANA, lnXMESY, lnXTAST, lnXTEKS, lnXTRZM, lnXULAS, lnXUMAL and lnXUTEK. For the lnXTCRT indice, no causality relationship was found from price to trade volume in any term. According to Breitung and Candelon 2006 frequency domain causality test, the causality relationship from trade volume to price has been determined in the LNXBANK indice at long-term frequencies.

 This paper aims to investigate the relationship between price and trading volume in BIST Industrial, BIST Banks, BIST Information Technology, BIST Food, Beverage, BIST Hold and Investment, BIST Wood, Paper, Printing, BIST Chemistry, Petrol, Plastic, BIST Basic Metal, BIST Metal Products, Machine, BIST Non-Metal Min. Product, BIST Textile, Leather, BIST Tourism, BIST Transportation, BIST Financials, and BIST Technology indices using daily data for the period 02.01.2015-31.12.2021 with frequency domain causality test. According to Breitung and Candelon 2006 frequency causality test results, it has been found that there was a unidirectional causality relationship at all frequencies from the index prices to the index trade volume for lnXUSIN, lnXBLSM, lnXGIDA, lnXHOLD, lnXKAGT, lnXKMYA, lnXMANA, lnXMESY, lnXTAST, lnXTEKS, lnXTRZM, lnXULAS, lnXUMAL and lnXUTEK. For the lnXTCRT indice, no causality relationship was found from price to trade volume in any term. According to Breitung and Candelon 2006 frequency domain causality test, the causality relationship from trade volume to price has been determined in the LNXBANK indice at long-term frequencies.

 Bu çalışmanın amacı, 02.01.2015  31.12.2021 dönemi için günlük frekanslı veriler kullanılarak BİST Sınai, BİST Banka, BİST Bilişim, BİST Gıda ve İçecek, BİST Holding ve Yatırım, BİST Orman, Kâğıt ve Basım, BİST Kimya, Petrol ve Plastik, BİST Metal Ana, BİST Metal Eşya Makina, BİST Taş ve Toprak, BİST Ticaret, BİST Tekstil ve Deri, BİST Turizm, BİST Ulaştırma, BİST Mali ve BİST Teknoloji endeks değerleri ile endeks hacimleri arasındaki ilişkiyi frekansta nedensellik testi ile ortaya koymaktır. Breitung ve Candelon 2006 frekansta nedensellik testi sonuçlarına göre, lnXUSIN, lnXBLSM, lnXGIDA, lnXHOLD, lnXKAGT, lnXKMYA, lnXMANA, lnXMESY, lnXTAST, lnXTEKS, lnXTRZM, lnXULAS, lnXUMAL ve lnXUTEK endeksleri için endeks fiyatlarından endeks işlem hacmine doğru bütün dönemlerde tek yönlü nedensellik ilişkisinin olduğu bulgusuna ulaşılmıştır. lnXTCRT Endeksi için fiyat ve işlem hacmi arasında ise hiçbir frekansta nedensellik ilişkisi tespit edilememiştir. Breitung ve Candelon 2006 frekans alanı nedensellik testi sonuçlarına göre işlem hacminden fiyatlara doğru nedensellik ilişkisi uzun ve orta dönemde lnXBANK endeksinde tespit edilmiştir.

Makale detayları

THE RELATIONSHIP BETWEEN PRICE AND TRADING VOLUME IN BIST SECTOR INDEXES: FINDINGS FROM FREQUENCY DOMAIN CAUSALITY TEST

Yazarlar:

Kemal Özdemir | Yüksel İltaş | Yusuf Kaderli

Yayıncı:

Erciyes University

Dergi:

Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 64, pp.63-71

Belge Tipi:

Makale

Yayın Tarihi:

4/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001288012

pISSN:

1301-3688

Price-Volume Relationship

BIST Sector Indexes

Frequency Domain Causality

RALS-LM Unit Root Test.Fiyat-Hacim İlişkisi

BİST Sektör Endeksleri

Frekans Alanı Nedensellik

RALS-LM Birim Kök Testi.

Sayı

Makale detayları

Yazarlar: Kemal Özdemir | Yüksel İltaş | Yusuf Kaderli

Yayıncı: Erciyes University

Dergi: Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 64, pp.63-71

Belge Tipi: Makale

Yayın Tarihi: 4/2023

Belge Dili: Türkçe

Document ID (Org No.): 2001288012

pISSN: 1301-3688

Sayı

Yazarlar:

Kemal Özdemir | Yüksel İltaş | Yusuf Kaderli

Yayıncı:

Erciyes University

Dergi:

Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi Issue 64, pp.63-71

Belge Tipi:

Makale

Yayın Tarihi:

4/2023

Belge Dili:

Türkçe

Document ID (Org No.):

2001288012

pISSN:

1301-3688