Volatility Spillover Between Stock Prices and Trading Volume: Evidence From the Pre-, In-, and Post Global Financial Crisis Periods
Stock prices and trading volumes are two important indicators of financial markets. As a result of the fluctuations caused by the economic crises in the markets, it is seen that the variance does not remain constant in financial market data over time. For this reason, in this study, volatility spill...
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2020-01-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/article/10.3389/fams.2019.00065/full |
| _version_ | 1818172936679325696 |
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| author | Letife Ozdemir |
| author_facet | Letife Ozdemir |
| author_sort | Letife Ozdemir |
| collection | DOAJ |
| description | Stock prices and trading volumes are two important indicators of financial markets. As a result of the fluctuations caused by the economic crises in the markets, it is seen that the variance does not remain constant in financial market data over time. For this reason, in this study, volatility spillover between stock prices and trading volume is examined within the framework of the mixed distributions hypothesis in Turkish capital markets. The causality test in variance was applied to the data covering 02 January 1997−29 December 2017 period. In order to identify the impact of the 2008 global financial crisis, the data are divided into three sub-periods: the pre-crisis period (02 January 1997–29 September 2008), in-crisis period (3 October 2008–30 September 2009), and the post-crisis period (1 October 2009–29 December 2017). The findings indicate the existence of bidirectional volatility spillovers between stock price and trading volume in the pre- and post-crisis periods. In the crisis period, there is a unidirectional volatility spillover from stock prices to trading volume. This shows that while the volatility of stock price affects the trading volume with lags in the crisis period, the volatility of stock price and trading volume in the non-crisis periods affect each other. The results include important findings for both policymakers and investors and for future work. |
| first_indexed | 2024-12-11T19:20:32Z |
| format | Article |
| id | doaj.art-fe77ef9f9bf548e78c83c11cd57d98c6 |
| institution | Directory Open Access Journal |
| issn | 2297-4687 |
| language | English |
| last_indexed | 2024-12-11T19:20:32Z |
| publishDate | 2020-01-01 |
| publisher | Frontiers Media S.A. |
| record_format | Article |
| series | Frontiers in Applied Mathematics and Statistics |
| spelling | doaj.art-fe77ef9f9bf548e78c83c11cd57d98c62022-12-22T00:53:32ZengFrontiers Media S.A.Frontiers in Applied Mathematics and Statistics2297-46872020-01-01510.3389/fams.2019.00065510917Volatility Spillover Between Stock Prices and Trading Volume: Evidence From the Pre-, In-, and Post Global Financial Crisis PeriodsLetife OzdemirStock prices and trading volumes are two important indicators of financial markets. As a result of the fluctuations caused by the economic crises in the markets, it is seen that the variance does not remain constant in financial market data over time. For this reason, in this study, volatility spillover between stock prices and trading volume is examined within the framework of the mixed distributions hypothesis in Turkish capital markets. The causality test in variance was applied to the data covering 02 January 1997−29 December 2017 period. In order to identify the impact of the 2008 global financial crisis, the data are divided into three sub-periods: the pre-crisis period (02 January 1997–29 September 2008), in-crisis period (3 October 2008–30 September 2009), and the post-crisis period (1 October 2009–29 December 2017). The findings indicate the existence of bidirectional volatility spillovers between stock price and trading volume in the pre- and post-crisis periods. In the crisis period, there is a unidirectional volatility spillover from stock prices to trading volume. This shows that while the volatility of stock price affects the trading volume with lags in the crisis period, the volatility of stock price and trading volume in the non-crisis periods affect each other. The results include important findings for both policymakers and investors and for future work.https://www.frontiersin.org/article/10.3389/fams.2019.00065/fullstock pricestrading volumevolatility spillovercausality in variance testmixed distributions hypothesis |
| spellingShingle | Letife Ozdemir Volatility Spillover Between Stock Prices and Trading Volume: Evidence From the Pre-, In-, and Post Global Financial Crisis Periods Frontiers in Applied Mathematics and Statistics stock prices trading volume volatility spillover causality in variance test mixed distributions hypothesis |
| title | Volatility Spillover Between Stock Prices and Trading Volume: Evidence From the Pre-, In-, and Post Global Financial Crisis Periods |
| title_full | Volatility Spillover Between Stock Prices and Trading Volume: Evidence From the Pre-, In-, and Post Global Financial Crisis Periods |
| title_fullStr | Volatility Spillover Between Stock Prices and Trading Volume: Evidence From the Pre-, In-, and Post Global Financial Crisis Periods |
| title_full_unstemmed | Volatility Spillover Between Stock Prices and Trading Volume: Evidence From the Pre-, In-, and Post Global Financial Crisis Periods |
| title_short | Volatility Spillover Between Stock Prices and Trading Volume: Evidence From the Pre-, In-, and Post Global Financial Crisis Periods |
| title_sort | volatility spillover between stock prices and trading volume evidence from the pre in and post global financial crisis periods |
| topic | stock prices trading volume volatility spillover causality in variance test mixed distributions hypothesis |
| url | https://www.frontiersin.org/article/10.3389/fams.2019.00065/full |
| work_keys_str_mv | AT letifeozdemir volatilityspilloverbetweenstockpricesandtradingvolumeevidencefromthepreinandpostglobalfinancialcrisisperiods |