Testing for linear and nonlinear Granger Causality in the stock price--volume relation: Turkish banking firms'; evidence

In this study, the causality test, proposed by Peguin-Feissolle and Terasvirta (1999), based on a Taylor expansion of the nonlinear model, is used to examine the dynamic relationship between daily Turkish banking sector stock price and trading volume. Evidence is found of significant linear and nonlinear causality between these two series.

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Year of publication:	2006
Authors:	Yörük, Nevin ; Erdem, Cumhur ; Erdem, Meziyet Sema
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 2.2006, 3, p. 165-171
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005462726