(The Causality Between Stock Prices And Foreign Trading Volume: Toda-Yamamoto Approach) The aim of this study is to investigate the causality between ISE100 index price and net foreign trading volume in Istanbul Stock Exchange. Toda-Yamamoto causality procedure is selected as the econometric methodolgy. This procedure allows us to investigate the causality between the series that are integrated in different orders. Monthly data used in this study covers the period from January 1997 through September 2005. Although results points the bidirectional causality between index price and net foreign trading volume, the causality from index price to net foreign trading volume is statistically more powerful.
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Uluslararası
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