The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange
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...
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| Format: | Article |
| Language: | English |
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Ferdowsi University of Mashhad
2018-05-01
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| Series: | Iranian Journal of Accounting, Auditing & Finance |
| Subjects: | |
| Online Access: | https://ijaaf.um.ac.ir/article_24879_c918e1d5b6164d4d1112f0629719519f.pdf |
| _version_ | 1817969510220562432 |
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| author | Roya Aleemran siamak shokouhifard Farzad Rahimzadeh |
| author_facet | Roya Aleemran siamak shokouhifard Farzad Rahimzadeh |
| author_sort | Roya Aleemran |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-13T20:21:58Z |
| format | Article |
| id | doaj.art-869d50a4378a4b9ca5aa43484e220c91 |
| institution | Directory Open Access Journal |
| issn | 2717-4131 2588-6142 |
| language | English |
| last_indexed | 2024-04-13T20:21:58Z |
| publishDate | 2018-05-01 |
| publisher | Ferdowsi University of Mashhad |
| record_format | Article |
| series | Iranian Journal of Accounting, Auditing & Finance |
| spelling | doaj.art-869d50a4378a4b9ca5aa43484e220c912022-12-22T02:31:30ZengFerdowsi University of MashhadIranian Journal of Accounting, Auditing & Finance2717-41312588-61422018-05-012210.22067/ijaaf.v2i2.6884324879The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock ExchangeRoya Aleemran0siamak shokouhifard1Farzad Rahimzadeh2Department of Economics, Tabriz Branch, Islamic Azad University, Tabriz, IranPhD Student, Department of Economics, Tabriz Branch, Islamic Azad University, Tabriz, IranUniversity of GuilanMany 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.https://ijaaf.um.ac.ir/article_24879_c918e1d5b6164d4d1112f0629719519f.pdftrade volumeasymmetric effectsstock return |
| spellingShingle | Roya Aleemran siamak shokouhifard Farzad Rahimzadeh The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange Iranian Journal of Accounting, Auditing & Finance trade volume asymmetric effects stock return |
| title | The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange |
| title_full | The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange |
| title_fullStr | The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange |
| title_full_unstemmed | The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange |
| title_short | The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange |
| title_sort | asymmetric effects of stock returns on trading volume in tehran stock exchange |
| topic | trade volume asymmetric effects stock return |
| url | https://ijaaf.um.ac.ir/article_24879_c918e1d5b6164d4d1112f0629719519f.pdf |
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