An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national - 100 index
An empirical analysis of trading volume and return volatility relationship on Istanbul stock exchange national - 100 index
This paper focuses on this relationship by assuming the Student’s t and the Stable distributions for innovations. In this paper, GARCH and Threshold GARCH (TGARCH) models are applied on the Istanbul Stock Exchange National-100 Index with the purpose of analyzing the relationships between the volatility of stock returns and the trading volume.