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<p>This study examines the causal relationship among volatility, liquidity, and foreign stock ownership in the Borsa Istanbul stock market, both firm and market level. The Granger causality tests, along with the Toda and Yamamoto (J Econometr 66:225–250, 1995) method at the firm level and the Dumitrescu and Hurlin (Econ Model 29:1450–1460, 2012) modification at the market level, show the existence of a bidirectional causal relationship between volatility and liquidity, which is also validated with the volatility and liquidity estimations in the GMM model. Dumitrescu and Hurlin's (Econ Model 29:1450–1460, 2012) causality tests indicate a causal relationship from foreign ownership to both volatility and liquidity, whereas the GMM estimates only confirm the causal relationship from foreign ownership to volatility.</p>

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Causality Nexus Between Volatility, Liquidity and Foreign Ownership: Evidence from Borsa Istanbul

  • 期刊论文

  • 发表日期：

    2025年3月17日

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  • Mehmet Benturk

摘要

This study examines the causal relationship among volatility, liquidity, and foreign stock ownership in the Borsa Istanbul stock market, both firm and market level. The Granger causality tests, along with the Toda and Yamamoto (J Econometr 66:225–250, 1995) method at the firm level and the Dumitrescu and Hurlin (Econ Model 29:1450–1460, 2012) modification at the market level, show the existence of a bidirectional causal relationship between volatility and liquidity, which is also validated with the volatility and liquidity estimations in the GMM model. Dumitrescu and Hurlin's (Econ Model 29:1450–1460, 2012) causality tests indicate a causal relationship from foreign ownership to both volatility and liquidity, whereas the GMM estimates only confirm the causal relationship from foreign ownership to volatility.