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İşlem Hacminin ve Covid 19 Pandemisinin BIST 30 Endeksi Üzerindeki Volatilite Etkisi

Year 2024, Volume: 3 Issue: 2, 1 - 8, 10.01.2025

Mehmet Eraslan , Selahattin Koç

Abstract

Bu çalışmanın amacı işlem hacminin ve olumsuz şokların pay senedi endeks volatilitesi üzerindeki etkisini araştırmaktır. Bu amaçla çalışmada BIST 30 endeksinin 13.11.2009 – 25.06.2021 tarihleri arasındaki günlük kapanış fiyatları ve toplam işlem hacmi kullanılmıştır. Covid 19 pandemisi 31 Aralık 2019 tarihinde ortaya çıkmıştır. Bu nedenle seriler üç döneme ayrılmış; ilk olarak 13.11.2009 – 25.06.2021 tarihleri arasındaki tüm dönem, ikinci olarak 13.11.2009 – 31.12.2019 tarihleri arasındaki Covid 19 öncesi dönem ve son olarak 01.01.2020 – 25.06.2021 tarihleri arasındaki Covid 19 sonrası dönem seçilmiştir. Böylelikle Covid 19 pandemisin (olumsuz şokların) BIST 30 endeksi üzerindeki volatilite etkisi de araştırılmıştır. Olumsuz şokların volatilite üzerindeki asimetrik etkisinin varlığını ortaya koyabilmek için analizler EGARCH (1,1) modeli kullanılarak yapılmıştır. Elde edilen bulgular, hem işlem hacminin hem de olumsuz şokların, BIST 30 endeks volatilitesi üzerinde istatistiksel olarak anlamlı ve pozitif etkiye sahip olduğunu göstermektedir. Covid 19 sonrası dönemde BIST 30 endeks volatilitesinde önemli ölçüde artış görüşülmüştür.

Keywords

İşlem Hacmi BIST 30 Covid 19 Volatilite EGARCH

References

  • Ahmed, H. J. A., Hassan, A. & Nasir, A. M. D. (2005). The relationship between trading volume, volatility and stock market returns: A test of mixed distribution hypothesis for a pre- and post crisis on Kuala Lumpur Stock Exchange. Investment Management and Financial Innovations, 3, 146-158.
  • Ataş, B. (2022). Covid-19 Pandemisinin asimetrik volatilite üzerinde etkileri: Uluslararası hisse senetleri piyasası üzerine bir araştırma. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 10(3), 1037-1050. http://dx.doi.org/10.18506/anemon.972033.
  • Bai, L., Wei, Y., Wei, G., Li, X., & Zhang, S. ( 2020). Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective. Finance Research Letters, 1-9. https://doi.org/10.1016/j.frl.2020.101709.
  • Bhowmik, D. (2013). Stock market volatility: An evaluatıon. International Journal of Scientific and Research Publications, 3(10), 1-18.
  • Bhowmik, R., & Wang, S. (2020). Stock market volatility and return analysis: A systematic literature review. Entropy, 22(522), 1-18.
  • Chocholatá, M. (2011). Trading volume and volatility of stock returns: Evidence from some European And Asian Stock Markets. Quantitative Methods in Economics, 12(1), 27–36.
  • Darwish, M. (2012). Testing the contemporaneous and causal relationship between trading volume and return in the Palestine Exchange. International Journal of Economics and Finance, 4(4), 182–192. doi:10.5539/ijef.v4n4p182. Engle, R. F., & K. Ng, V. (1993). Measuring and testing the ımpact of news on volatility. The Journal of Finance, 48(5), 1749-1778.
  • Eraslan, M., & Koç, S. (2022). Covid 19 Pandemisinin BIST likit endeksler üzerindeki volatilite etkisi. Journal of Economics and Financial Researches, 4(2), 184-200 doi: 10.56668/jefr.1200092.
  • Gazel, S. (2017). Hisse senedi piyasalarında işlem hacmi ve volatilite ilişkisi: Kırılgan Beşli Ekonomiler üzerine bir inceleme. Uluslararası Yönetim İktisat ve İşletme Dergisi, 13(2), 347-363. http://dx.doi.org/10.17130/ijmeb.2017228688.
  • Iqbal, H., & Riaz, T. (2015). The empirical relationship between stocks returns, trading volume and volatility: Evidence from stock market of United Kingdom. Research Journal of Finance and Accounting, 6(13), 180-192.
  • Kalovwe, S. K., Mwaniki, J. I., & Simwa, R. O. (2021). On stock returns volatility and trading volume of the Nairobi Securities Exchange İndex. RMS: Research in Mathematics & Statistics, 8(1), 1-10. https://doi.org/10.1080/27658449.2021.1889765.
  • Kalu, O. E., & Chinwe, O. C. (2014). The relationship between stock returns volatility and trading volume in Nigeria. Business Systems and Economics, 4(2), 115-125. doi:10.13165/VSE-14-4-2-01.
  • Kıran, B. (2010). İstanbul Menkul Kıymetler Borsası’nda işlem hacmi ve getiri volatilitesi. Doğuş Üniversitesi Dergisi, 11(1), 98-108.
  • Lögün, A. (2023). Market volatility and trading volume in MINT Markets: Evidence from Covid-19 pandemic period. Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 10(1), 39-48.
  • Mahajan, S., & Singh, B. (2012). The empirical investigation of relationship between return, volume and volatility dynamics in Indian Stock Market. Eurasian Journal of Business and Economics, 2(4), 113-137.
  • Naik, P. K., Gupta, R., & Padhi, P. (2018). The relationship between stock market volatility and trading volume: Evidence from South Africa. The Journal of Developing Areas, 52(1), 99–114.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
  • Ozdemir, L. (2020). Volatility spillover between stock prices and trading volume: Evidence from the pre-, ın-, and post global financial crisis periods. Frontiers in Applied Mathematics and Statistics, 5, 1-8. doi: 10.3389/fams.2019.00065.
  • Wasiuzzaman, S. (2022). Impact of Covid‑19 on the Saudi Stock Market: Analysis of return, volatility and trading volume. Journal of Asset Management, 23, 350–363. https://doi.org/10.1057/s41260-022-00269-x.

Year 2024, Volume: 3 Issue: 2, 1 - 8, 10.01.2025

Mehmet Eraslan , Selahattin Koç

Abstract

References

  • Ahmed, H. J. A., Hassan, A. & Nasir, A. M. D. (2005). The relationship between trading volume, volatility and stock market returns: A test of mixed distribution hypothesis for a pre- and post crisis on Kuala Lumpur Stock Exchange. Investment Management and Financial Innovations, 3, 146-158.
  • Ataş, B. (2022). Covid-19 Pandemisinin asimetrik volatilite üzerinde etkileri: Uluslararası hisse senetleri piyasası üzerine bir araştırma. Anemon Muş Alparslan Üniversitesi Sosyal Bilimler Dergisi, 10(3), 1037-1050. http://dx.doi.org/10.18506/anemon.972033.
  • Bai, L., Wei, Y., Wei, G., Li, X., & Zhang, S. ( 2020). Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective. Finance Research Letters, 1-9. https://doi.org/10.1016/j.frl.2020.101709.
  • Bhowmik, D. (2013). Stock market volatility: An evaluatıon. International Journal of Scientific and Research Publications, 3(10), 1-18.
  • Bhowmik, R., & Wang, S. (2020). Stock market volatility and return analysis: A systematic literature review. Entropy, 22(522), 1-18.
  • Chocholatá, M. (2011). Trading volume and volatility of stock returns: Evidence from some European And Asian Stock Markets. Quantitative Methods in Economics, 12(1), 27–36.
  • Darwish, M. (2012). Testing the contemporaneous and causal relationship between trading volume and return in the Palestine Exchange. International Journal of Economics and Finance, 4(4), 182–192. doi:10.5539/ijef.v4n4p182. Engle, R. F., & K. Ng, V. (1993). Measuring and testing the ımpact of news on volatility. The Journal of Finance, 48(5), 1749-1778.
  • Eraslan, M., & Koç, S. (2022). Covid 19 Pandemisinin BIST likit endeksler üzerindeki volatilite etkisi. Journal of Economics and Financial Researches, 4(2), 184-200 doi: 10.56668/jefr.1200092.
  • Gazel, S. (2017). Hisse senedi piyasalarında işlem hacmi ve volatilite ilişkisi: Kırılgan Beşli Ekonomiler üzerine bir inceleme. Uluslararası Yönetim İktisat ve İşletme Dergisi, 13(2), 347-363. http://dx.doi.org/10.17130/ijmeb.2017228688.
  • Iqbal, H., & Riaz, T. (2015). The empirical relationship between stocks returns, trading volume and volatility: Evidence from stock market of United Kingdom. Research Journal of Finance and Accounting, 6(13), 180-192.
  • Kalovwe, S. K., Mwaniki, J. I., & Simwa, R. O. (2021). On stock returns volatility and trading volume of the Nairobi Securities Exchange İndex. RMS: Research in Mathematics & Statistics, 8(1), 1-10. https://doi.org/10.1080/27658449.2021.1889765.
  • Kalu, O. E., & Chinwe, O. C. (2014). The relationship between stock returns volatility and trading volume in Nigeria. Business Systems and Economics, 4(2), 115-125. doi:10.13165/VSE-14-4-2-01.
  • Kıran, B. (2010). İstanbul Menkul Kıymetler Borsası’nda işlem hacmi ve getiri volatilitesi. Doğuş Üniversitesi Dergisi, 11(1), 98-108.
  • Lögün, A. (2023). Market volatility and trading volume in MINT Markets: Evidence from Covid-19 pandemic period. Optimum Ekonomi ve Yönetim Bilimleri Dergisi, 10(1), 39-48.
  • Mahajan, S., & Singh, B. (2012). The empirical investigation of relationship between return, volume and volatility dynamics in Indian Stock Market. Eurasian Journal of Business and Economics, 2(4), 113-137.
  • Naik, P. K., Gupta, R., & Padhi, P. (2018). The relationship between stock market volatility and trading volume: Evidence from South Africa. The Journal of Developing Areas, 52(1), 99–114.
  • Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370.
  • Ozdemir, L. (2020). Volatility spillover between stock prices and trading volume: Evidence from the pre-, ın-, and post global financial crisis periods. Frontiers in Applied Mathematics and Statistics, 5, 1-8. doi: 10.3389/fams.2019.00065.
  • Wasiuzzaman, S. (2022). Impact of Covid‑19 on the Saudi Stock Market: Analysis of return, volatility and trading volume. Journal of Asset Management, 23, 350–363. https://doi.org/10.1057/s41260-022-00269-x.
There are 19 citations in total.

Details

Primary Language Turkish
Subjects Finance
Journal Section Research Articles
Authors

Mehmet Eraslan 0000-0002-2501-4252

Selahattin Koç 0000-0003-4285-5632

Publication Date January 10, 2025
Submission Date June 7, 2024
Acceptance Date December 16, 2024
Published in Issue Year 2024Volume: 3 Issue: 2

Cite

APA Eraslan, M., & Koç, S. (2025). İşlem Hacminin ve Covid 19 Pandemisinin BIST 30 Endeksi Üzerindeki Volatilite Etkisi. Uluslararası Güncel Sosyal Bilimler Dergisi, 3(2), 1-8.
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ISSN: 2980-1540
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