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

Abstract

In this study, the causality test, proposed by Peguin-Feissolle and Terasvirta (1999 Peguin-Feissolle, A and Terasvirta, T. 1999. “A general framework for testing the Granger noncausality hypothesis”. In Working Paper Series in Economics and Finance from Stockholm School of Economics No. 343 [Google Scholar]), based on a Taylor expansion of the nonlinear model, is used to examine the dynamic relationship between daily Turkish banking sector stock price and trading volume. Evidence is found of significant linear and nonlinear causality between these two series.