Conference Paper
Pay Senedi Piyasalarında Getiri Oynaklığı ve İşlem Hacmi İlişkisi: MINT Ülkeleri Üzerine Bir İnceleme
Abstract
“MINT Ülkeleri” tanımlaması Meksika, Endonezya, Nijerya ve Türkiye ekonomilerini ifade etmektedir. MINT ülkelerinin ekonomisi, gençlerin yoğun olduğu kalabalık bir nüfus, hızlı ekonomik büyüme ve yüksek girişimcilik özellikleri göstermektedir. Bu çalışma MINT ülkelerinin borsa endeksleri için getiri oynaklığı ile işlem hacmi arasındaki ilişkiyi incelenmektedir. Çalışmanın veri seti Haziran 2019 – Mart 2023 dönemini kapsamakta ve günlük frekanslı verilerden oluşmaktadır. Endeks getiri serilerine ilişkin asimetrik etkinin tespiti için E-GARCH(1,1) modeli tahmin edilmiştir. Model sonuçları, Nijerya hariç olmak üzere, Meksika, Endonezya ve Türkiye pay senedi piyasaları için getiri oynaklığına etki eden şokların etkilerinin asimetrik olduğuna işaret etmektedir. Getiri oynaklığı-işlem hacmi ilişkisinin tespiti için oluşturulan modellere eş zamanlı işlem hacmi ve ardından işlem hacminin gecikmeli değeri dâhil edilerek yeni modeller oluşturulmuştur. Elde edilen bulgular Meksika, Endonezya ve Türkiye pay senedi piyasaları için Ardışık Bilgi Akışı Hipotezinin geçerli olduğunu göstermektedir. İlgili ülke borsa endeksi getiri oynaklığı dinamiklerini açıklama noktasında hacim verisi ve gecikmeli değerleri önemli bir değişkendir. Nijerya pay senedi piyasası için ise Karışık Dağılımlar Hipotezinin geçerli olduğu yönünde bulgulara ulaşılmıştır. Nijerya borsa endeksi getiri oynaklığını açıklamada işlem hacmi verisinin anlamlı bir katsayıya sahip olduğu tespit edilmiştir. Getiri oynaklığı ile işlem hacminin gecikmeli verisi arasında ise benzer ilişkinin mevcut olmadığı, ilişkinin devam etmediği sonucuna ulaşılmıştır.
Keywords
Supporting Institution
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Project Number
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References
- Ahmed, H. J. A., Hassan, A. ve Nasir, A. M. D. (2005). The relationship between trading volume, volatility and stock market returns: A test of Mixed Distribution Hypothesis for a pre- and post crisis on Kuala Lumpur Stock Exchange. Investment Management and Financial Innovations, 3, 146–158.
- Andersen, T. G. (1996). Return volatility and trading volume: An information flow interpretation of stochastic volatility. The Journal of Finance, 51(1), 169–204. https://doi.org/10.2307/2329306
- Aysoy, D. ve Küçükkocaoğlu, G. (2016). Döviz müdahalelerinin kur üzerindeki etkisi. BDDK Bankacılık ve Finansal Piyasalar, 10(1), 65–94.
- Başcı, E., Özyıldırım, S. ve Aydoğan, K. (1996). A note on price-volume dynamics in an emerging stock market. Journal of Banking & Finance, 20, 389–400.
- Bohl, M. T. ve Henke, H. (2003). Trading volume and stock market volatility: The Polish case. International Review of Financial Analysis, 12(5), 513–525. https://doi.org/10.1016/S1057-5219(03)00066-8
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
- Brooks, C. (2014). Introductory econometrics for finance (3rd ed.). Cambridge University Press. Büberkökü, Ö. (2017). İşlem Hacmi ile hisse senedi getirileri arasındaki ilişkinin incelenmesi: Banka hisselerine dayalı bir analiz. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(19), 457–457. https://doi.org/10.20875/makusobed.324146
- Clark, P. K. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41(1), 135–155. https://doi.org/10.2307/1913889
- Copeland, T. E. (1976). A model of Asset trading under the assumption of sequential information arrival. The Journal of Finance, 31(4), 1149–1168. https://doi.org/10.2307/2326280
- Darrat, A. F., Rahman, S. ve Zhong, M. (2003). Intraday trading volume and return volatility of the DJIA stocks: A note. Journal of Banking & Finance, 27(10), 2035–2043. https://doi.org/10.1016/S0378-4266(02)00321-7
- Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Eonometric Society, 50(4), 987–1007.
- Epps, T. W. ve Epps, M. L. (1976). The stochastic dependence of security price changes and transaction volumes: Implications for the Mixture-of-Distributions Hypothesis. Econometrica, 44(2), 305–321. https://doi.org/10.2307/1912726
- Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
- Gazel, S. (2017). Hisse senedi piyasalarında işlem hacmi ve volatilite ilişkisi: Kırılgan Beşli ekonomiler üzerine bir inceleme. International Journal of Management Economics and Business, 13(2), 347–363. https://doi.org/10.17130/ijmeb.2017228688
- Girard, E. ve Biswas, R. (2007). Trading volume and market volatility: Developed versus emerging stock markets. Financial Review, 42(3), 429–459. https://doi.org/10.1111/j.1540-6288.2007.00178.x
- Granger, C. W. ve Newbold, P. (1974). Spurious Regressions in Econometrics. Journal of Econometrics, 2(2), 111–120.
- Harris, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1), 99–117. https://doi.org/10.1016/0304-405X(86)90044-9
- Hiemstra, C. ve Jones, J. D. (1994). Testing for linear and nonlinear Granger causality in the stock price-volume relation. The Journal of Finance, 49(5), 1639–1664. https://doi.org/10.2307/2329266
- Huang, B. N. ve Yang, C.-W. (2001). An empirical investigation of trading volume and return volatility of the Taiwan Stock Market. Global Finance Journal, 12(1), 55–77. https://doi.org/10.1016/S1044-0283(01)00023-0
- Huang, J., Wang, Y., Fan, Y. ve Li, H. (2022). Gauging the effect of investor overconfidence on trading volume from the perspective of the relationship between lagged stock returns and current trading volume. International Finance, 25(1), 103–123. https://doi.org/10.1111/infi.12405
- Jennings, R. H., Starks, L. T. ve Fellingham, J. C. (1981). An equilibrium model of asset trading with Sequential Information Arrival. The Journal of Finance, 36(1), 143–161. https://doi.org/10.2307/2327469
- Kallner, A. (2018). Laboratory statistics: Methods in chemistry and health sciences (2nd ed.). Elsevier. Kalu O., E. ve Chinwe, O. C. (2014). The relationship between stock returns volatility and trading volume in Nigeria. Business Systems & Economics, 4(2), 115–125. https://doi.org/10.13165/VSE-14-4-2-01
- Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. The Journal of Financial and Quantitative Analysis, 22(1), 109–126. https://doi.org/10.2307/2330874
- Kirchgässner, G. ve Wolters, J. (2007). Introduction to modern time series analysis. Springer Berlin Heidelberg. https://books.google.com.tr/books?id=-f1qsH9wpSoC
- Kıran, B. (2010). İstanbul Menkul Kıymetler Borsası’nda işlem hacmi ve getiri volatilitesi. Doğuş Üniversitesi Dergisi, 11(1), 98–108.
- Kwiatkowski, D., Phillips, P. C., Schmidt, P. ve Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1–3), 159–178.
- MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11(6), 601–618. https://doi.org/10.1002/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T
- Mandelbrot, B. (1963). The variation of certain speculative prices. The Journal of Business, 36(4), 394–419.
- Nagashybayeva, G. (2020, September 21). Research guides: MINT: Sources of economic information. Library of Congress. https://guides.loc.gov/mexico-indonesia-nigeria-turkey/introduction
- Naik, P. K., Gupta, R. ve Padhi, P. (2018). The Relationship Between Stock Market Volatility and Trading Volume: Evidence from South Africa. The Journal of Developing Areas, 52(1), 99–114.
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. https://doi.org/10.2307/2938260
- Osborne, M. F. M. (1959). Brownian motion in the stock market. Operations Research, 7(2), 145–173.
- Özdemir, K., İltaş, Y. ve Kaderli̇, Y. (2023). BİST sektör endekslerinde fiyat ve işlem hacmi arasındaki ilişki: Frekans alanı nedensellik testinden bulgular. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 64, Article 64. https://doi.org/10.18070/erciyesiibd.1260516
- Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi getiri volatilitesinin analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 13, 339–350.
- Smirlock, M. ve Starks, L. (1985). A further examination of stock price changes and transaction volume. Journal of Financial Research, 8(3), 217–226.
- Songül, H. (2010). Otoregresif koşullu değişen varyans modelleri: Döviz kurları üzerine uygulama [Uzmanlık Yeterlilik Tezi]. TCMB Araştırma ve Para Politikası Genel Müdürlüğü.
The Relationship of Return Volatility and Trading Volume in Equity Markets: An Empirical Analysis on MINT Countries
Abstract
The definition of “MINT Countries” refers to the economies of Mexico, Indonesia, Nigeria and Türkiye. The economy of MINT countries is characterized by a crowded population with a high density of young people, rapid economic growth and high entrepreneurship. This study examines the relationship between return volatility and trading volume for stock market indices of MINT countries. The data set of the study covers the period of June 2019 – March 2023 and consists of daily frequency data. The E-GARCH (1,1) model was estimated to determine the asymmetric effect on the index return series. The model results indicate that the effects of shocks on return volatility are asymmetrical for Mexico, Indonesia and Türkiye stock markets, excluding Nigeria. New models were created by including the contemporaneous trading volume and then the lagged value of the trading volume to the models, to determine the return volatility-trading volume relationship. The findings show that the Sequential Information Arrival Hypothesis is valid for the Mexican, Indonesian, and Turkish stock markets. Volume data and lagged values are important variables at the point of explaining the dynamics of return volatility in the relevant country stock market index. For the Nigerian stock market, it has been found that the Mixture of Distribution Hypothesis is valid. It has been determined that the trading volume data has a significant coefficient in explaining the Nigerian stock index return volatility, and it has been concluded that there is no similar relationship between the return volatility and the lagged values of the trading volume and that the relationship does not continue.
Keywords
Project Number
-
References
- Ahmed, H. J. A., Hassan, A. ve Nasir, A. M. D. (2005). The relationship between trading volume, volatility and stock market returns: A test of Mixed Distribution Hypothesis for a pre- and post crisis on Kuala Lumpur Stock Exchange. Investment Management and Financial Innovations, 3, 146–158.
- Andersen, T. G. (1996). Return volatility and trading volume: An information flow interpretation of stochastic volatility. The Journal of Finance, 51(1), 169–204. https://doi.org/10.2307/2329306
- Aysoy, D. ve Küçükkocaoğlu, G. (2016). Döviz müdahalelerinin kur üzerindeki etkisi. BDDK Bankacılık ve Finansal Piyasalar, 10(1), 65–94.
- Başcı, E., Özyıldırım, S. ve Aydoğan, K. (1996). A note on price-volume dynamics in an emerging stock market. Journal of Banking & Finance, 20, 389–400.
- Bohl, M. T. ve Henke, H. (2003). Trading volume and stock market volatility: The Polish case. International Review of Financial Analysis, 12(5), 513–525. https://doi.org/10.1016/S1057-5219(03)00066-8
- Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
- Brooks, C. (2014). Introductory econometrics for finance (3rd ed.). Cambridge University Press. Büberkökü, Ö. (2017). İşlem Hacmi ile hisse senedi getirileri arasındaki ilişkinin incelenmesi: Banka hisselerine dayalı bir analiz. Mehmet Akif Ersoy Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 9(19), 457–457. https://doi.org/10.20875/makusobed.324146
- Clark, P. K. (1973). A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41(1), 135–155. https://doi.org/10.2307/1913889
- Copeland, T. E. (1976). A model of Asset trading under the assumption of sequential information arrival. The Journal of Finance, 31(4), 1149–1168. https://doi.org/10.2307/2326280
- Darrat, A. F., Rahman, S. ve Zhong, M. (2003). Intraday trading volume and return volatility of the DJIA stocks: A note. Journal of Banking & Finance, 27(10), 2035–2043. https://doi.org/10.1016/S0378-4266(02)00321-7
- Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Eonometric Society, 50(4), 987–1007.
- Epps, T. W. ve Epps, M. L. (1976). The stochastic dependence of security price changes and transaction volumes: Implications for the Mixture-of-Distributions Hypothesis. Econometrica, 44(2), 305–321. https://doi.org/10.2307/1912726
- Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. https://doi.org/10.2307/2325486
- Gazel, S. (2017). Hisse senedi piyasalarında işlem hacmi ve volatilite ilişkisi: Kırılgan Beşli ekonomiler üzerine bir inceleme. International Journal of Management Economics and Business, 13(2), 347–363. https://doi.org/10.17130/ijmeb.2017228688
- Girard, E. ve Biswas, R. (2007). Trading volume and market volatility: Developed versus emerging stock markets. Financial Review, 42(3), 429–459. https://doi.org/10.1111/j.1540-6288.2007.00178.x
- Granger, C. W. ve Newbold, P. (1974). Spurious Regressions in Econometrics. Journal of Econometrics, 2(2), 111–120.
- Harris, L. (1986). A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, 16(1), 99–117. https://doi.org/10.1016/0304-405X(86)90044-9
- Hiemstra, C. ve Jones, J. D. (1994). Testing for linear and nonlinear Granger causality in the stock price-volume relation. The Journal of Finance, 49(5), 1639–1664. https://doi.org/10.2307/2329266
- Huang, B. N. ve Yang, C.-W. (2001). An empirical investigation of trading volume and return volatility of the Taiwan Stock Market. Global Finance Journal, 12(1), 55–77. https://doi.org/10.1016/S1044-0283(01)00023-0
- Huang, J., Wang, Y., Fan, Y. ve Li, H. (2022). Gauging the effect of investor overconfidence on trading volume from the perspective of the relationship between lagged stock returns and current trading volume. International Finance, 25(1), 103–123. https://doi.org/10.1111/infi.12405
- Jennings, R. H., Starks, L. T. ve Fellingham, J. C. (1981). An equilibrium model of asset trading with Sequential Information Arrival. The Journal of Finance, 36(1), 143–161. https://doi.org/10.2307/2327469
- Kallner, A. (2018). Laboratory statistics: Methods in chemistry and health sciences (2nd ed.). Elsevier. Kalu O., E. ve Chinwe, O. C. (2014). The relationship between stock returns volatility and trading volume in Nigeria. Business Systems & Economics, 4(2), 115–125. https://doi.org/10.13165/VSE-14-4-2-01
- Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. The Journal of Financial and Quantitative Analysis, 22(1), 109–126. https://doi.org/10.2307/2330874
- Kirchgässner, G. ve Wolters, J. (2007). Introduction to modern time series analysis. Springer Berlin Heidelberg. https://books.google.com.tr/books?id=-f1qsH9wpSoC
- Kıran, B. (2010). İstanbul Menkul Kıymetler Borsası’nda işlem hacmi ve getiri volatilitesi. Doğuş Üniversitesi Dergisi, 11(1), 98–108.
- Kwiatkowski, D., Phillips, P. C., Schmidt, P. ve Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54(1–3), 159–178.
- MacKinnon, J. G. (1996). Numerical distribution functions for unit root and cointegration tests. Journal of Applied Econometrics, 11(6), 601–618. https://doi.org/10.1002/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T
- Mandelbrot, B. (1963). The variation of certain speculative prices. The Journal of Business, 36(4), 394–419.
- Nagashybayeva, G. (2020, September 21). Research guides: MINT: Sources of economic information. Library of Congress. https://guides.loc.gov/mexico-indonesia-nigeria-turkey/introduction
- Naik, P. K., Gupta, R. ve Padhi, P. (2018). The Relationship Between Stock Market Volatility and Trading Volume: Evidence from South Africa. The Journal of Developing Areas, 52(1), 99–114.
- Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. https://doi.org/10.2307/2938260
- Osborne, M. F. M. (1959). Brownian motion in the stock market. Operations Research, 7(2), 145–173.
- Özdemir, K., İltaş, Y. ve Kaderli̇, Y. (2023). BİST sektör endekslerinde fiyat ve işlem hacmi arasındaki ilişki: Frekans alanı nedensellik testinden bulgular. Erciyes Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 64, Article 64. https://doi.org/10.18070/erciyesiibd.1260516
- Özden, Ü. H. (2008). İMKB Bileşik 100 Endeksi getiri volatilitesinin analizi. İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi, 13, 339–350.
- Smirlock, M. ve Starks, L. (1985). A further examination of stock price changes and transaction volume. Journal of Financial Research, 8(3), 217–226.
- Songül, H. (2010). Otoregresif koşullu değişen varyans modelleri: Döviz kurları üzerine uygulama [Uzmanlık Yeterlilik Tezi]. TCMB Araştırma ve Para Politikası Genel Müdürlüğü.
There are 36 citations in total.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Finance and Investment (Other) |
| Journal Section | Makaleler |
| Authors | |
| Project Number | - |
| Early Pub Date | April 29, 2024 |
| Publication Date | April 30, 2024 |
| Submission Date | July 24, 2023 |
| Published in Issue | Year 2024Volume: 25 Issue: 2 |
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