Abstract:

The relationship between price and volume may able to make predictions to investors while making investment decisions. The purpose of this study is to investigate the relationship between trading volume and price in Borsa Istanbul Industrial, Services, Financial and Corporate Governance indices using daily data for the period 01.01.2012-02.01.2018. In the study, Toda-Yamamoto causality test results show that there is a one-way causality, running from price to volume in the Industrial index. This result indicates that the Noise-Traders Hypothesis is valid in the Industrial index. For other indices, no causality relation is found between price and volume. The dynamic relationships between the series are examined by using impulse-response and variance decomposition methods, and results that support the causality test have been reached.

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