This paper investigates the volume-return volatility relationship for 25 individual stocks in the Turkish stock market, using daily data for the period 1998-2005. The results indicate that trading volume significantly contributes to the return volatility process of stocks in Turkish stock market, as suggested in many studies. On the
other hand, the results also signify that the trading volume has no significant effect on thereduction of the volatility persistence for majority of stocks in the sample, challenging the presence of “Mixed Distribution Hypothesis” in Turkish
stock market. These results are consistent with the empirical findings of a number of studies in emerging markets, including with those done in Turkish stock market.
