Seçilmiş Ortadoğu ve Kuzey Afrika Ülkeleri Borsalarında Hisse Senedi Fiyat-İşlem Hacminin Doğrusal Olmayan İlişkisi

Çelik S., Koy A.

TURK FINANCE AND ECONOMICS RESEARCH, cilt.1, sa.1, ss.45-80, 2021 (Hakemli Dergi)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 1 Sayı: 1
  • Basım Tarihi: 2021
  • Dergi Adı: TURK FINANCE AND ECONOMICS RESEARCH
  • Sayfa Sayıları: ss.45-80
  • Marmara Üniversitesi Adresli: Evet

Özet

This paper empirically examines the relationship between stock prices and volumes for the selected Middle Eastern and North African countries (Bahrain, Dubai, Egypt, Israel, Jordan, Kuwait, Lebanon, Oman, Qatar, and Saudi Arabia). We employ Markov Regime Switching Vector Autoregressive Model (MSVAR) to analyze the relationship in bearish and bullish conditions. We use daily data and different periods for each stock market depending on the availability of data for the period 01/01/2016 to 21/11/2019. Our main results from Markov switching models indicate that the stock indices do not respond to any shock applied to volume for any country in any regime as a recession, moderate growth, or expansion. The responses of volume to the shocks applied to the index (price) are positive for all regimes for the 4 countries, but the responses vary according to the regime for the others in the terms of the way of the direction as positive or negative.