Comparison of Liquidity Measures and the Relationship Between Volatility of Liquidity and Stock Returns in Turkish Stock Market

This paper aims to determine the relationship between stock returns and volatility of liquidity in turkish stock market. it is also investigated whether various liquidity measures sort the stocks in the same way according to their liquidities. the data used in the study contains the closing prices, trading volumes and free floating of the stocks that are included in borsa istanbul 100 index (bist100) and covers the period from 28.02.2011 to 18.11.2014. generalized autoregressive conditional heteroscedasticity (garch) and autoregressive moving average models (arma) are used to perform empirical analysis. according to the results, it can not be determined the clear significant relationship between stock returns and volatility of liquidity. results also show that while stock size and amihud illiquidity criteria sort the stocks in the same way, stock return standard deviation criterion produces different ranking.