The dynamic relationship between trading volumes, share market returns and return fluctuations in companies listed on the Tehran Stock Exchange at different periods

Document Type : Research Paper

Author

Department of Accounting, Payame Noor University, P.O.Box 19395-3697, Tehran, Iran

Abstract

This study aimed to assess the relationship between exchange volume and share market Volatility. The present research measured exchange volume and shared market volatility variables and analyzed the data. The Statistical population is all companies accepted to the Tehran Stock Exchange. Sampling has been performed by the Systematic Elimination method. The data needed to test the research hypotheses were collected from the Stock Exchange reports (annual financial statements and Explanatory Notes) and daily share market statistics through the Stock Exchange websites for five years (2017-2021) and stored in a database to calculate the research variables. Data software of the Tehran Stock Exchange, including Rahvard and Tadbir Pardaz software, have been used to monitor and control information. Descriptive Statistics, Inferential Statistics, and the Granger causality approach were used for statistical analysis. The research variables were calculated after collecting information and data by entering information in Excel. Then, the results of measuring the variables were entered into the EVIEWS software for statistical calculations. The results show a significant relationship between trading volume and share market volatility.

Keywords

[1] M. Ahmadi and M. Rajabi, Investigating the relationship between the volume and number of transactions with the volatility of stock returns, Nat. Conf. Manag. Electronic Commerce, 2021.
[2] A. Bahrami and M. Dastgir, An investigating the information content of asset turnover/profit margin model in determining of earning management, Empir. Stud. Financ. Account. 11 (2013), no. 43, 89–110.
[3] T. Bollerslev, Generalized autoregressive conditional heteroscedasticity, J. Economet. 31 (1986), no. 3, 307–327.
[4] M. Chen, The impact of margin trading on volatility of stock market: Evidence from SSE 50 index, J. Financ. Risk Manag. 5 (2016), 178–188.
[5] M.F. Falah Shams, A. Jahanshad, A.A. Abbasi and H. Kiade, Investigating the dynamic relationship between stock volume and returns with information asymmetry at different levels of transaction size (evidence from Tehran Stock Exchange), J. Manag. Stud. Account. 4 (2018), no. 2, 86–100.
[6] C.W.J. Granger, Developments in the study of cointegrated economic variables, Oxford Bull. Econ. Statist.  48  (1986), no. 3, 213-228.
[7] I. Haj Khan Mirzai Saraf, T. Mohammadi, M.R. Salehi Rad and R. Taleblo, Bayesian estimation of relationship between return volatility and stock trading volume of Tehran Stock Exchange Index, Financ. Engin. Portfolio Manag. 11 (2020), no. 42, 44–66.
[8] Q.T. Henry and M. McKenzie, The impact of short selling on the price-volume relationship: Evidence from Hong Kong, J. Bus. 79 (2006), 671–691.
[9] D. Hirshleifer, D. Jiang, Y.M. DiGiovanni, Mood beta and seasonalities in stock returns, J. Financ. Econ. 137 (2020), no. 1, 272–295.
[10] H. Hong and J.C. Stein, Differences of opinion, short-sales constraints, and market crashes, Rev. Financ. Stud. 16 (2003), 487–525.
[11] A. Kraus and A. Rubin, The effect of short sale constraint removal on volatility in the presence of heterogeneous beliefs, Int. Rev. Financ. 4 (2003), 171–188.
[12] M. Miseman, The dynamic relationship between trading volume, stock return, and volatility-domestic and crosscountry: South Asian markets, Financ. Account. Bus. Anal. 1 (2019), no. 1, 1–21.
[13] A. Modares, K. Lillipour and M. Hamshi, The effect of announcing floating shares on trading volume, volatility and stock returns, Financ. Account. Audit. Res. 10 (2018), no. 39, 219–236.
[14] P. Mohammad Nezami and T. Mohammad Nezami, Investigating the long-term relationship between the stock price index and exchange rate, Int. Conf. New Res. Achiev. Econ. Account. Manag., Tehran, Nikan Institute of Higher Education, 2015.
[15] F. Mohammadi Yarijani, I. Norosh and B. Jamshidi Navid, Compilation and presentation of a trend model for
the volume of transactions of investors based on the Importance of Psychological Components, Financ. Engin. Portfolio Manag. 12 (2021), no. 46, 644–666.
[16] H. Rabibeigi, Investigating the effect of net profit margin on the profitability of companies listed on the Tehran Stock Exchange, World Conf. Manag. Econ. Account. Human Sci. at Beginning of the Third Millennium, Shiraz, 2016.
[17] P.A. Saffi and K. Sigurdsson, Price efficiency and short selling, Rev. Financ. Stud. 24 (2011), 821–852.
[18] D.L.T. Toe and S. Ouedraogo, Dynamic relationship between trading volume, returns and returns volatility: An empirical investigation on the main African’s stock markets, J. Asset Manag. 23 (2022), no. 5, 429–444.
[19] R. Tavanai Ahoie and S.Y. Ahadi Sarkani, Profit quality, stock returns and the moderating role of trading volume in companies listed on the Tehran Stock Exchange, Stud. Econ. Financ. Manag. Account. 5 (2020), no. 2, 97–107.
[20] H. Yang and F. Xue, Analysis of stock market volatility: Adjusted VPIN with high-frequency data, Int. Rev. Econ. Financ. 75 (2021), 210–222.
[21] S. Yildiz, B. Van Ness and R. Van Ness, VPIN, liquidity, and return volatility in the US equity markets, Glob. Financ. J. 45 (2020), 100479.
Volume 14, Issue 8
August 2023
Pages 225-235
  • Receive Date: 13 October 2022
  • Revise Date: 27 November 2022
  • Accept Date: 01 December 2022