The relationship between volatility and volume on the Istanbul stock exchange

Abstract

This study is about the examination of the relationship between stock price volatility and determinants of volume on an emerging market, the Istanbul stock exchange (ISE). The aim of this study was to find out empirically whether there was any insider trading on ISE in 2003 using the panel data approach. This is the first study on this topic for ISE. Estimated results show that the average trade size sign was found to be negative and the trade frequency sign was positive. The findings can be interpreted as evidence that insider trading occurred at the ISE in 2003.