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 Assistant Professor and Faculty Member of 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.

Keywords


Abbasian, E.,MoradpourOladi, M., and Abbasiun, V. (2008). The Impact of
Macroeconomic Variables on the Stock Market: Evidence from Tehran Stock
Exchange Market. Iran economic journal, Vol. 12 (36), pp. 135-152.
http://ijer.atu.ac.ir/article_3569_en.html
Choi, K., Jiang, Z., Kang, S., and Yoon, S. (2012). Relationship between Trading
Volume and Asymmetric Volatility in the Korean Stock Market.
ModernEconomy, Vol. 3 (5), pp. 584-589.DOI:10.4236/me.2012.35077.
Clark, P.K. (1973). A Subordinated Stochastic Process Model with Finite Variance
for Speculative Prices, Econometrica, Vol. 41 )1(, pp. 135-155.
https://www.jstor.org/stable/1913889
Connolly ,R., and Wang, A.F. (2003). International equity market comovements:
Economic fundamentals or contagion? Pacific-Basin Finance Journal, Vol.
11 (1), pp. 23-
4.https://EconPapers.repec.org/RePEc:eee:pacfin:v:11:y:2003:i:1:p:23-43
Darrat, A.F.,Rahman, S., and Zhong, M. (2003). Intraday Tradin Volume and
Return Volatility of DGIA Stock: A Note. Journal of Banking and Finance,
Vol. 27(10), pp. 2035-2043. DOI: 10.1016/S0378-4266(02)00321-7
Goldfeld, S.M. (1973). The Demand for Money Revisited.Brookings Papers on
Economic Activity, Vol.4 (3), pp.577-
646.https://EconPapers.repec.org/RePEc:bin:bpeajo:v:4:y:1973:i:1973-
3:p:577-646
Gallant, A., Rossi, P., and Tauchen, G. (1992). Stock Prices and Volume. Review of
Financial Studies, Vol. 5 (2), pp. 199-242. http://www.jstor.org/fcgi-
bin/jstor/listjournal.fcg/08939454
Hamilton, J.D. (1989). A New Approach to the Economic Analysis of Nonstationary
Time Series and the Business Cycle.Econometrica, Vol. 57 (2), pp. 357-384.
https://www.jstor.org/stable/1912559
King, M.A., and Wadhwani, S. (1990). Transmission of Volatility between Stock
Markets.Review of Financial Studies, Vol. 3, (1), pp. 5-33. DOI:
10.1093/rfs/3.1.5
Kalev, P.S., Liu, W.M., Pham, P.K., and Jarnecic, E. (2002). Public Information
Arrival and Volatility of Intraday Stock Returns”, Journal of Bankingand
Finance, Vol.28, Available at
SSRN:http://dx.doi.org/10.2139/ssrn.407760(accessed 26 Jun 2003).
Lamoureux, Ch., and Lastrapes, W.D. (1990).Heteroskedasticity in Stock Return
Data: Volume versus GARCH Effects, Journal of Finance, Vol. 45, (1), pp.
221-29.http://links.jstor.org/sici?sici=0022-1082%2819900O%3B2-
3&origin=repec
Lee, B.S., and Rui, O.M. (2002). The Dynamic Relationship Between Stock Returns
and Trading Volume: Domestic and Cross-Country Evidence. Journal
ofBanking and Finance, Vol. 26, (1), pp. 51-78. DOI: 10.1016/S0378-
4266(00)00173-4
Naik, P.K.,Gupta, R., and Padhi, P. (2018). The Relationship between Stock Market
Volatility and Trading Volume: Evidence from South Africa. The Journal of
Developing Areas, Vol. 52, (1), pp. 99-114.
https://ideas.repec.org/a/jda/journl/vol.52year2018issue1pp99-114.html
Osborne, M.F.M. (1959). Brownian Motion in the Stock Market.Operations
Research, Vol.7, (2), pp.145-173.https://www.jstor.org/stable/167153
Quandt, R.E. (1972). A New Approach to Estimating Switching Regressions.
Journalof the American Statistical Association, Vol.67, (338), pp.306-
310.https://www.jstor.org/stable/2284373
Ravichandran, K., and Bose, S. (2012). Relationship between Stock Return and
Trading Volume. Research Journal of Business Management, Vol. 6, (1), pp.
30-39. DOI: 10.3923/rjbm.2012.30.39
Shangkari, V. A.,Ruhani, A., and Hooy, C.W. (2017). The effect of investor
sentiment on stock returns: Insight from emerging Asian markets. Asian Academy
ofManagement Journal of Accounting and Finance, Vol. 13,(1), pp. 159–
178.http://web.usm.my/journal/aamjaf/aamjaf13012017/aamjaf13012017_7.pdf
Tapa, A., and Hussin, M. (2016). The Relationship between Stock Return and
Trading Volume in Malaysian ACE Market. International Journal of
Economics and Financial Issues, Vol.6, (S7), pp.271-278.http:
www.econjournals.com
Terasvirta, T., and Anderson, H. (1992). Characterizing Nonlinearities in Business
Cycles Using Smooth Transition Autoregressive Models.Journal of Applied
Econometrics, Vol.7, (51), pp. S119-s136.DOI: 10.1002/jae.3950070509
Wang, J. (1994). A model of competitive stock trading volume. Journal ofPolitical
Economy, Vol. 102, (1), pp. 127-168.https://www.jstor.org/stable/2138796
CAPTCHA Image