نویسندگان
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
In this study we try to investigate the dynamic and spontaneous relationship between trade volume and stocks return in Tehran Stock Exchange as an immerging market. The time period in our study includes monthly data from the time series of stocks return and trade volume between the beginning of the year 1379 (March 21, 2000) and the 7th month of 1390 (Oct. 23, 2011). In contrast with the results of studies in developed markets, the evidences resulted from calculation of spontaneous relationship between trade volume and stock return (and stock return absolute) show no positive correlation between variables. These findings would reject the MDH hypothesis in Tehran Stock Exchange.
However, investigating the dynamic and spontaneous relationship between the two variables using the VAR models show that the Granger causality of stocks return is the trade volume but in reverse manner we experienced no Granger causality.
کلیدواژهها [English]
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