Investigation of the Relationship between Trading Volume, Volatility and Stock Return in Tehran Stock Exchange

摘要

The relationship between tradingvolume , return and volatility in financial marketsduringthe last two decades has attracted much attention. In the current research,contemporaneous relationships between trading volume, volatility and stock return havebeen examined based on Mixtures of Distributions Hypothesis(MDH) and in the formatof Garch family models and Granger causality by using monthly data of trading volumeof 94 selected firms and market return of Tehran stock exchange during the period fromMarch 2005 to December of 2012.usedStatistical procedures include Pearsoncorrelation matrix, unit root test, Garch model, Exponential GARCHmodel, leverageeffect hypothesis test and Granger causality test. Garch model estimates results showthat this is a proper model for stock volatility. By using the results of leverage effect inwhich Exponential GARCHmodel has been used asymmetric volatility and leverageeffect in Tehran stock exchange has been approved. Finally the research hypothesisstanding for the relationship between trading volume, volatility and stock return hasbeen approved. These findings proved the Mixtures of Distributions HypothesisinTehran stock exchange. Granger causality test also shows trading volume and stockvolatility has a one-way relationship which is toward stock volatility toward tradingvolume.