STOCK MARKET VOLATILITY AND TRADING VOLUME IN MINT MARKETS: EVIDENCE FROM COVID 19 PANDEMIC PERİOD

LÖGÜN A.

Optimum Ekonomi ve Yönetim Bilimleri Dergisi, cilt.10, sa.1, ss.39-48, 2023 (Hakemli Dergi) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 10 Sayı: 1
  • Basım Tarihi: 2023
  • Dergi Adı: Optimum Ekonomi ve Yönetim Bilimleri Dergisi
  • Derginin Tarandığı İndeksler: TR DİZİN (ULAKBİM)
  • Sayfa Sayıları: ss.39-48
  • Atatürk Üniversitesi Adresli: Evet

Özet

The study examines the relationship between stock return volatility and trading volume. MINT countries are analysed within the scope of the Covid 19 pandemic period from 11.03.2020 to 28.04.2022. EGARCH(1,1) model estimations reveal the asymmetrical effects on the returns by including the contemporaneous and lagged trading volumes. While the model estimation results show that there is an asymmetric effect in return volatility for Turkey and Indonesia stock markets, there does not appear to be an asymmetric effect on volatility for Mexico and Nigeria stock markets. The results support the validity of the Mixture of Distribution Hypothesis for Turkey and Indonesia. The study results provide useful findings for portfolio managers, researchers and investors.