Risk-return-volume relationship in an emerging stock market

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.