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- W2488339969 abstract "This paper examines the relationship between trade volume and Istanbul Stock Exchange composite index (ISE-100) return volatility for the period 1990-2008 by including the trade volume and the day of the week effect in to the GARCH, EGARCH and TGARCH models. The findings indicate the presence of the day of the week effect and leverage effect on return volatility. The estimation results of the GARCH and TGARCH models show that the effect of trade volume on return volatility is significant in the statistical sense but not positive. These findings provide strong evidence against the validity of Sequential Arrival Information and Mixed Distribution hypothesis in ISE." @default.
- W2488339969 created "2016-08-23" @default.
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- W2488339969 date "2010-01-01" @default.
- W2488339969 modified "2023-09-27" @default.
- W2488339969 title "İSTANBUL MENKUL KIYMETLER BORSASI'NDA İŞLEM HACMİ VE GETİRİ VOLATİLİTESİ TRADE VOLUME AND RETURN VOLATILITY IN ISTANBUL STOCK EXCHANGE" @default.
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