Granger Causality Between Stock Price and Trading Volume: A Stock-Based Analysis in the ISE

The purpose of this study is to test causal relationships between stock price and trading volume for 9 corporation stock where of the selected from among ISE-30 and companies operating in different sectors in the ISE. The data is based on session’s observations approximately 2500 and the period covers 2 January 2003-31 December 2007. Study using Granger causality test; 9 companies whose subject to the application from 7 to the one-way causality from price (return) to trading volume has been determined.