000			01914pab a2200205 454500
008			140923b0 xxu||||| |||| 00| 0 eng d
040			_cWelingkar Institute of Management Development & Research, Mumbai _aWelingkar Institute of Management Development & Research, Mumbai
041			_aENG
082			_a _bKiy
100			_aKiymaz Halil
245			_aStock Market Volatility and Trading Volume : An Emerging Market Experience
250			_a6
260			_a _bJun 2009 _c0
300			_a5-32 Pp.
490			_v15
520			_aThis study investigates the relationship between daily returns and trading volume for 30 stocks included in the Istanbul Stock Exchange National-30 index. Study findings reveal that GARCH model is an appropriate model to mimic the conditionality of the second moments. The study finds that the persistency of conditional volatility is high and very close to unity, implying that current information can be used to predict future volatility. It also finds no leverage effect contradicting other studies reporting leverage effect. Speculative bubbles resulting from economic factors not justifying the rise in the market may cause these results. When trading volume is included in the analysis, the study finds that even though the persistence of the conditional volatility is present, it is lower with the introduction of volume. Finally, the decomposition of volume into expected and unexpected components shows that the expected component of volume significantly explains the variation in volatility. A vast majority of firms exhibit a decline in their volatility persistence. This result suggests that surprises in trading volume do not convey all the information associated with trading volume and that most information release is predictable.
650			_aStock Market, Emerging Market
856			_uhttp://192.168.6.13/libsuite/mm_files/Articles/AR10665.pdf
906			_a31983
999			_c30488 _d30488