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Stock Price and Volume Relation in Emerging Markets
Department of Business, Beykent University, Istanbul, Turkey.
University of Skövde, School of Technology and Society.
2005 (English)In: Emerging markets finance & trade, ISSN 1540-496X, Vol. 41, no 1, 29-44 p.Article in journal (Refereed) Published
Abstract [en]

This 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.

Place, publisher, year, edition, pages
M. E. Sharpe, 2005. Vol. 41, no 1, 29-44 p.
National Category
Social Sciences
Research subject
Humanities and Social sciences
Identifiers
URN: urn:nbn:se:his:diva-1586ISI: 000227785100003Scopus ID: 2-s2.0-17444422853OAI: oai:DiVA.org:his-1586DiVA: diva2:31862
Available from: 2007-10-08 Created: 2007-10-08 Last updated: 2013-04-09Bibliographically approved

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Citation style
  • apa
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