The Price-Volume Relation in the Turkish Derivatives Exchange
Tarik Dogru, Ümit Bulut

Abstract
This study aims to examine the relation between closing prices and trading volume of US Dollar (USD) futures contracts in the Turkish Derivatives Exchange (TURKDEX). For this purpose, daily closing prices and volume of December-dated USD futures contracts that are traded in the TURKDEX were used for the period 2009-2011. After unit root and cointegration tests, the Granger causality test based on the vector error correction model was performed to determine the causality relations between prices and volume. The results indicate that while there is not a relation between prices and volume in the short run, there is a relation that is from volume to prices in the long run. Accordingly, it may be said that the futures market in Turkey is not efficient by the efficient market hypothesis.

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