Abstract:

This paper aims to investigate the relationship between price and trading volume in BIST Industrial, BIST Banks, BIST Information Technology, BIST Food, Beverage, BIST Hold and Investment, BIST Wood, Paper, Printing, BIST Chemistry, Petrol, Plastic, BIST Basic Metal, BIST Metal Products, Machine, BIST Non-Metal Min. Product, BIST Textile, Leather, BIST Tourism, BIST Transportation, BIST Financials, and BIST Technology indices using daily data for the period 02.01.2015-31.12.2021 with frequency domain causality test. According to Breitung and Candelon (2006) frequency causality test results, it has been found that there was a unidirectional causality relationship at all frequencies from the index prices to the index trade volume for lnXUSIN, lnXBLSM, lnXGIDA, lnXHOLD, lnXKAGT, lnXKMYA, lnXMANA, lnXMESY, lnXTAST, lnXTEKS, lnXTRZM, lnXULAS, lnXUMAL and lnXUTEK. For the lnXTCRT indice, no causality relationship was found from price to trade volume in any term. According to Breitung and Candelon (2006) frequency domain causality test, the causality relationship from trade volume to price has been determined in the LNXBANK indice at long-term frequencies

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