ADMATI, A. R. ve PFLEIDERER, P. (1988): “A
theory of intraday patterns: volume and price
variability” , Review of Financial Studies, 1, 3-40.
AHMED, H. J. A., HASSAN, A. ve NASIR, A.
M. D. (2005): “The Relationship between Trading
Volume, Volatility and Stock market Returns: A
Test of Mixed Distribution Hypothesis for a Preand
Post Crisis on Kuala Lumpur Stock
Exchange”, Investment Management and
Financial Innovations, 3, 146-158.
ANDERSEN, Torben G. (1996): “Return
Volatility and Trading Volume: An Information
Flow Interpretation of Stochastic Volatility”,
Journal of Finance, 51, 169-204.
BALABAN, Ercan. (1995): “Day of the week
effects: new evidence from an emerging stock
market”, Applied Economics Letters, 2, 139-143.
BASCI, Erdem, OZYILDIRIM K. ve
AYDOGAN Kursat. (1996): “A Note on Price-
Volume Dynamics in an Emerging Stock
Market.”, Journal of Banking and Finance, 20,
389-400.
BOHL, Martin ve HENKE H. (2003): “Trading
volume and stock market volatility: The Polish
case”, International Review of Financial Analysis,
153, 1-13.
BOLLERSLEV, Tim. (1986): “Generalized
Autoregressive Conditional Heteroscedasticity”,
Journal of Econometrics, 31, 307-327.
BRAILSFORD, Timothy J. (1994): “The
Empirical relationship Between Trading Volume,
Returns and Volatility”, Research Paper,
Department of Accounting and Finance,
University of Melbourne, No: 1994-01, 1-33.
BROCK, William A. ve LEBARON, Blake D.
(1996): “A Dynamic Structural Model for Stock
Return Volatility and Trading Volume”, Review
of Economics and Statistics, 78, 94-110.
CHEN, Gong-Meng, FIRTH, Michael ve RUI
Oliver M.(2001): “The Dynamic Relation
Between Stock Returns, Trading Volume, and
Volatility”, Financial Review, 36, 153-174.
CLARK, P. (1973): “A subordinated stochastic
process model with finite variance for speculative
prices”, Econometrica, 91,135-156.
DICKEY, David A.ve FULLER, Wayne A.
(1979): “Distribution of the Estimators for
Autoregressive Time Series With a Unit Root.”,
Journal of the American Statistical Association,
427-431.
ENGLE, Robert F. (1982): “Autoregressive
Conditional Heteroscedasticity with Estimates of
the Variance of United Kingdom Inflation”,
Econometrica, 50, 987-1008.
FOSTER, Douglas F. ve VISWANATHAN, S.
(1993): “Variations in Trading Volume, Return
Volatility, and Trading Costs: Evidence on Recent
Price Formation Models”, Journal of Finance, 48,
187-211.
GALLAGHER, Liam ve KIELY, Daniel. (2005):
“Volume and GARCH Effects for Dual-Listed
Equities: Evidence from Irish Equities”, The Irish
Accounting Review, 12, 63-82.
GALLO, Giampiero M.ve PACINI, Barbara.
(2000): “The effects of trading activity on market
volatility”, The European Journal of Finance, 163
– 175.
GLOSTEN, Lawrence ve JAGANNATHAN,
Ravi. (1993): “On the Relation between the
Expected Value and the Volatility of the Nominal
Excess Return on Stocks”, Journal of Finance, 48,
1779-1801.
GUNDUZ, Lokman ve HATEMI, Abdulnasser.
(2005): “Stock Price and Volume Relation in
124
Emerging Markets”, Emerging Markets Finance
and Trade, 41, 29-44.
GUNER, Nuray ve ONDER Zeynep. (2002) :
“Information and Volatility: Evidence from an
Emerging Market”, Emerging Markets Finance
and Trade , 38, 26-46.
HE, H. ve WANG J. (1995): “Differential
informational and dynamic behavior of stock
trading volume”, The Review of Financial
Studies, 8, 919-972.
HUANG, B.-N ve YANG, C. W. (2001): “An
empirical investigation of trading volume and
return volatility of the Taiwan Stock Market”,
Global Finance Journal, 12, 55-77.
JONES, C.M. , KAUL, G. ve LIPSON, M.L.
(1994): “Transactions, volume, and volatility”,
The Review of Financial Studies, 7, 631-651.
KWIATKOWSKI, D., PHILLIPS, P. C. B.,
SCHMIDT, P. ve SHIN, Y. (1992): “Testing the
null hypothesis of stationarity against the
alternative of a unit root”, Journal of
Econometrics, 54, 159-178.
KYLE, A.S. (1988): “Trading halts and price
limits”, Review of Futures Markets, 10, 136-175.
LAMOUREUX, Christopher G. ve LASTRAPES,
William D. (1994): “Endogenous Trading
Volume and Momentum in Stock-Return
Volatility”, Journal of Business & Economic
Statistics, 12, 253-260.
LAMOUREUX, Christopher G. ve LASTRAPES,
William D. (1990): “Heteroskedasticity in Stock
Return Data: Volume versus GARCH Effects”,
Journal of Finance, 45, 221-229.
MCKENZIE , Michael D ve FAFF, Robert W.
(2003): “The Determinants of Conditional
Autocorrelation in Stock Returns”, The Journal of
Financial Research, 26, 259- 274.
MORGAN, I. G. (1976): “Stock Prices and
Heteroscedasticity”, Journal of Business, 49, 496-
508.
OMRAN, M. F. ve MCKENZIE, E. (2000):
“Heteroscedasticity in stock returns data revisited:
volume versus GARCH effects”, Applied
Financial Economics , 10, 553-560.
PYUN, C.S., LEE S.Y. ve NAM, K. (2000):
“Volatility and information flows in emerging
equity market - A case of the Korean Stock
Exchange”, International Review of Financial
Analysis, 9, 405-420.
SABRI, Nidal Rashid. (2004): “Stock Return
Volatility and Market Crisis in Emerging
Economies”, Review of Accounting and Finance,
3, 59-83.
SALMAN, Ferhan. (2002): “Risk-return-volume
relationship in an emerging stock market”,
Applied Economics Letters, 9, 549-552.
STOLL, H.R. ve WHALEY, R.E. (1990): “Stock
market structure and volatility”, The Review of
Financial Studies, 3, 37-71.
TAUCHEN, George E. ve PITTS, Mark. (1983):
“The Price Variability-Volume Relationship on
Speculative Markets”, Econometrica, 51, 485-
505.
WANG, P. ve LIU, A. (2005): “Stock Return
Volatility and Trading Volume: Evidence from
the Chinese Stock Market”, Journal of Chinese
Economic and Business Studies, 3, 39-54.
YUKSEL, A. (2002): “The performance of the
Istanbul Stock Exchange during the Russian
crisis”, Emerging Markets Finance and Trade, 38,
78-99.
