The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange

Document Type : Finance

Authors

1 Department of Economics, Tabriz Branch, Islamic Azad University, Tabriz, Iran

2 PhD Student, Department of Economics, Tabriz Branch, Islamic Azad University, Tabriz, Iran

3 University of Guilan

Abstract

Many studies have certified the relationship between stock return and trade capacity, however, the results about the effects of this variable’s volatilities in trade volume have been contradictory (Chen 2001). According to the contradictory results of practical studies in this case, the distinction of the asymmetrical stock return impacts and the inspection of their effects in trade volume will lead to more precise results. In this research the asymmetrical influences of stock return shocks over the trade capacity of Tehran’s stock during the period 90:1-95:12 was surveyed by the use of monthly time series. For this purpose the shocks of stock return is extracted after the static examination of variables and at the final section the positive and negative shocks influences of stock return over the stock trade quantities is inspected via the Johanson Co-integration technique and Wald test the results show by the verification of positive and negative asymmetrical effects of stock return in stock trade quantities. In this context in Iran’s capital market for the issued period, stock return includes two different growth mean of 5,4 and 11,7 of two regimes which contain the integration coefficients of 0,15 and 0,07 successively which illustrates the larger negative shocks in stock return and it can be implied that the high stock return rate is not the sponsor of country’s capital market’s productivity.

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