EXAMINING THE ROLE OF TRADING VOLUME ON BETA COEFFICIENTS: EVIDENCE FROM TURKISH BANKS
Journal Title: İşletme Bilimi Dergisi - Year 2016, Vol 4, Issue 1
Abstract
In this study, as a new approach, the role of trading volume on time variation in beta coefficients is investigated. The AR(p)-DCC-GARCH (p,q) model, proposed by Engle (2002), is used to obtain the time varying conditional beta coefficients. Quantile regressison is employed to examine the contemporaneous relationship between the variables. Hatemi-J (2012) asymmetric causality test is employed to investigate the causality relationship between the variables. Results show that trading volume can be considered as one of the variables that can explain the time variation in beta coefficients
Authors and Affiliations
Önder BÜBERKÖKÜ, Simge Tüzün Şahmaroğlu
Keywords
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- EP ID EP206508
- DOI 10.22139/ibd.73036
- Views 202
- Downloads 0
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