Beta Katsayılarındaki Değişimin Açıklanmasında İşlem Hacminin Etkisinin İncelenmesi: Banka Hisselerine Dayalı Bir Analiz
EXAMINING THE ROLE OF TRADING VOLUME ON BETA COEFFICIENTS: EVIDENCE FROM TURKISH BANKS
Author(s): Önder BüberköküSubject(s): Economy
Published by: Sakarya üniversitesi
Keywords: Trading volume; Beta coefficients; Quantile regression; DCCGARCH model;
Summary/Abstract: In this study, as a new approach, the role of trading volume on time variation in beta coefficients is investigated. The AR(p)-DCC-GARCH (p,q) model, proposed by Engle (2002), is used to obtain the time-varying conditional beta coefficients. Quantile regressison is employed to examine the contemporaneous relationship between the variables. Hatemi-J (2012) asymmetric causality test is employed to investigate the causality relationship between the variables. Results show that tradingvolume can be considered as one of the variables that can explain the time variation in beta coefficients.
Journal: İşletme Bilimi Dergisi
- Issue Year: 4/2016
- Issue No: 1
- Page Range: 1-28
- Page Count: 28
- Language: Turkish