The relationship between stock return and trading volume in Istanbul Stock Exchange

This study covers the empirical dynamic relationship between XU100 returns and trading volume. Sample includes 5388 closing price and trading volume for the period between january 2nd 1990 and August 17th, 2011. Granger causality and VAR methods employed to analyse dynamic relations between variables and results suggest that there is one way causality from index return to trading volume. Mixture of Distributions Hypothesis tested by GARCH models and supported results have been reached. Negative returns increase trading volume relative to positive returns. In the last part of the study, time varying correlations between trading volume and index returns and periodic differences examined. Especially during great shocks correaltions decrease.