The relationship between trading volume and stock price: an ampirical analysis in Istanbul stock exchange

In the paper, the relationship between stock prices and transaction volume is analysed by applying "the Multi-Structural Fractured Co-Integration Test" at Borsa Istanbul 100 index (BIST100). The direction of the correlation is examined by "Granger Causality Test". In the study, the weekly data that covers the period of 01.03.2002 and 10.06.2016 is used. Two different variables, which are Foreign Exchange Rate and Interest Rate, are added to the work in order to make the study different from other works and obtain more descriptive results. The results show that there is a long-running cointegration relationship between variables and "the Multiple Structural Fractured Cointegration Test". Moreover, with Granger Causality Test, a two-way causality is determined between BIST100 and foreign exchange rate, transaction volume and interest rates and foreign exchange rate and interest rates, respectively. However, a one-way causality, which is from interest rates to BIST100 stock prices, is determined between BIST100 stock prices and interest rates. Similarly, there is a one-way causality, which is from transaction volume to BIST100 stock prices, between transaction volume and BIST100 stock prices. Finally, no causality is determined between transaction volume and foreign exchange rate.