Testing for linear and nonlinear Granger Causality in the stock price–volume relation: Turkish banking firms’ evidence

Yörük, Nevin; Erdem, Cumhur; Erdem, Meziyet Sema

doi:10.1080/17446540600592779

Cited by 10 publications

(3 citation statements)

References 12 publications

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“…Dumitrescu and Hurlin (2012) Granger non-causality test with the bootstrap procedure is applied to examine the direction of causality. This technique is well-known for bivariate causality, which involves estimating a linear vector autoregression (VAR) (Yörük et al 2006). This test helps explore whether the regressor used in the model can predict the number of COVID-19 cases.…”

Section: Granger Non-causality Testmentioning

confidence: 99%

Econometric analysis of COVID-19 cases, deaths, and meteorological factors in South Asia

Jain

Sharma

Goyal³

et al. 2021

Environ Sci Pollut Res

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The pandemic has affected almost 74 million people worldwide as of 17 December 2020. This is the first study that attempts to examine the nexus between the confirmed COVID-19 cases, deaths, meteorological factors, and the air pollutant namely PM2.5 in six South Asian countries, from 1 March 2020 to 30 June 2020, using the advanced econometric techniques that are robust to heterogeneity across nations. Our findings confirm (1) a strong cross-sectional dependence and significant correlation between COVID-19 cases, deaths, meteorological factors, and air pollutant; (2) long-term relationship between all the meteorological variables, air pollutant, and COVID-19 death cases; (3) temperature, air pressure, and humidity exhibit a significant impact on the COVID-19 confirmed cases, while COVID-19 confirmed cases and air pollutant PM2.5 have a statistically significant impact on the COVID-19 death cases. In this way, the conclusion that high temperature and high humidity increase the transmission of the COVID-19 infections can also be applied to the regions with greater transmission rates, where the minimum temperature is mostly over 21°C and humidity ranges around 80% for months. From the findings, it is evident that majority of the meteorological factors and air pollutant PM2.5 exhibit significant negative and positive effects on the number of COVID-19 confirmed cases and death cases in the six countries under study. Air pollutant PM 2.5 provides more particle surface for the virus to stick and get transported longer distances. Hence, higher particulate pollution levels in the air increase COVID-19 transmission in these six South Asian countries. This information is vital for the government and public health authorities in formulating relevant policies. The study contributes both practically and theoretically to the concerned field of pandemic management. Highlights• To examine the nexus among the COVID-19 confirmed cases, deaths, meteorological factors, and the air pollutant namely PM2.5 in six South Asian countries, from 1 March 2020 to 30 June 2020, employing advanced econometric techniques • Strong cross-sectional dependence and significant correlation among COVID-19 cases, deaths, meteorological factors, and the air pollutant • Temperature air pressure and humidity exhibit a significant impact on the COVID-19 confirmed cases in the six countries • COVID-19 confirmed cases and air pollutant PM2.5 have a statistically significant impact on the COVID-19 death cases • Results assist government and public health authorities in formulating the policies for containing, mitigating, and surveillance of COVID-19 in different countries

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Section: Granger Non-causality Testmentioning

confidence: 99%

Econometric analysis of COVID-19 cases, deaths, and meteorological factors in South Asia

Jain

Sharma

Goyal³

et al. 2021

Environ Sci Pollut Res

View full text Add to dashboard Cite

show abstract

“…On the other hand, it can be said that there is no cointegrated relationship between the asymmetric structure of volume and price for 7 stocks. In this context, between the volumes and prices of stocks, Saatcioglu and Starks (1998), Moosa and Al-Loughani (1995), Başci et al (1996), Silvapulle and Choi (1999) and Yörük et al (2006) suggest symmetrical relations may exist. Note: * ,**, and *** respectively 1%, 5%, and 10% the null hypothesis at the level of significance is rejected.…”

Section: Estimation Resultsmentioning

confidence: 98%

“…Al Samman and Al-Jafari (2015) argued that the volume for the Omani stock exchange is the reason for stock returns. Findings related to the relationship between price and volumes have been obtained in studies conducted on BIST (Akar, 2008;Baklaci and Kasman, 2006;Başci et al, 1996;Kayalıdere, Kargın, and Aktaş, 2009;Umutlu, 2008;Yörük et al, 2006). Chaudhuri and Kumar (2015) stated that stock price is weakly exogenous only in the high volatility regime.…”

Section: Determinants Of Stock Pricesmentioning

confidence: 98%

Hisse Senedi Hacminin Fiyatı Üzerindeki Asimetrik Etkisinin İncelenmesi: Tekstil Hisseleri Üzerine Bir Uygulama

Bozma¹

2020

Cankiri Karatekin Universitesi Iktisadi Ve Idari Bilimler Fakultesi Dergisi

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Order imbalances explain 90% of returns of Nikkei 225 futures

Endo

Zuo³

et al. 2010

Applied Economics Letters

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This article introduces a new kind of order imbalance - limit order imbalance - in addition to the conventional order imbalance to explain the intraday stock returns. The conventional order imbalance together with our new order imbalance are shown to explain more than 90% of intraday returns of the Nikkei 225 Futures in the Osaka Stock Exchange in Japan. It is also found that a scaling by spreads substantially increases the explanatory power in thinner markets.

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Testing for linear and nonlinear Granger Causality in the stock price–volume relation: Turkish banking firms’ evidence

Cited by 10 publications

References 12 publications

Econometric analysis of COVID-19 cases, deaths, and meteorological factors in South Asia

Econometric analysis of COVID-19 cases, deaths, and meteorological factors in South Asia

Hisse Senedi Hacminin Fiyatı Üzerindeki Asimetrik Etkisinin İncelenmesi: Tekstil Hisseleri Üzerine Bir Uygulama

Order imbalances explain 90% of returns of Nikkei 225 futures

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