Unveiling Complex Market Dynamics: A Wavelet Coherence Study of Turkish Stock Price and Volume Interactions

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 high-volatility 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.

کلیدواژه ها:

Wavelet coherence analysis ، Turkish stock market ، Time-Frequency Analysis ، trading volume ، price-volume nexus