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Original Articles

Risk-return-volume relationship in an emerging stock market

Pages 549-552 | Published online: 06 Oct 2010
 

Abstract

This paper aims to provide empirical evidence for the risk-return-volume relationship in the Ýstanbul Stock Exchange (ISE) for the period 2 January 1992 to 29 May 1998. The Generalized Autoregressive Conditional Heteroscedasticity-in-Mean (GARCH-M) specification reveals that daily return volatility is time-varying and highly persistent. In addition, return is positively associated with risk, i.e. the estimate of the conditional standard deviation. Contemporaneous changes in volume have a positive effect on returns. The previous day's change in volume affects conditional volatility of returns positively.

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