Özet:

In this study, the relation between return volatility and trading volume in the ISE National 100 Index was examined by making use of monthly data in the period between 1997 and 2009. First of all the existence of volatility was proven with ARCH test, and then generalized autoregressive conditional heteroscedasticity (GARCH) model was used to model volatility. To examine the relation between return volatility and trading volume, unstructured VAR method was applied. Moreover, Granger causality test was used to determine bilateral relation. With the VAR model, it was concluded that there is a long-term, negative relation from trading volume to volatility. Besides, the findings of the study also revealed bilateral Granger causality relation between return volatility and trading volume. These findings indicate that Sequential Arrival Information and Mixed Distribution Hypothesis are not valid for the ISE

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