Unveiling Complex Market Dynamics: A Wavelet Coherence Study of Turkish Stock Price and Volume Interactions
Journal of Mathematics and Modeling in Finance, cilt.6, sa.1, ss.143-158, 2026 (Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 6 Sayı: 1
- Basım Tarihi: 2026
- Doi Numarası: 10.22054/jmmf.2025.88768.1223
- Dergi Adı: Journal of Mathematics and Modeling in Finance
- Derginin Tarandığı İndeksler: Scopus
- Sayfa Sayıları: ss.143-158
- Anahtar Kelimeler: price-volume nexus, time-frequency analysis, trading volume, Turkish stock market, Wavelet coherence analysis
- Trakya Üniversitesi Adresli: Evet
Özet
This study investigates the dynamic relationship between stock prices and trading volumes in Borsa İstanbul using the wavelet coherence approach. Employing daily data from major sectoral indices, the analysis captures both time-and frequency-domain interactions between price and volume movements. The methodology enables detection of multi-scale dependencies and shifting lead–lag dynamics across different market phases. The results reveal significant coherence during highvolatility periods, suggesting strong information transmission between price and trading activity. Moreover, the findings indicate that short-term fluctuations are primarily driven by speculative behavior, while long-term linkages reflect fundamental market adjustments. These insights contribute to a deeper understanding of market efficiency and investor behavior in emerging markets. The study provides empirical evidence useful for policymakers, traders, and researchers seeking to interpret complex market structures within a time–frequency framework.