SURVEYING THE RELATION BETWEEN TRADING VOLUME, STOCK RETURN AND RETURN VOLATILITY IN TEHRAN STOCK EXCHANGE: A WAVELET ANALYSIS

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ABBASI EBRAHIM; DEHGHAN NAYERI LEYLA; POORDADASH MEHRABANI NAZILA

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Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2017 | Volume:4 | Issue:4 (15) Page(s): 99-114

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Title

SURVEYING THE RELATION BETWEEN TRADING VOLUME, STOCK RETURN AND RETURN VOLATILITY IN TEHRAN STOCK EXCHANGE: A WAVELET ANALYSIS

Author(s)

ABBASI EBRAHIM | DEHGHAN NAYERI LEYLA | POORDADASH MEHRABANI NAZILA | Issue Writer Certificate

Keywords

TRADING VOLUMEQ1

STOCK RETURNQ2

RETURN VOLATILITYQ2

WAVELETQ2

GRANGER CAUSALITYQ1

Abstract

Although many studies have tried to construct a theoretical or empirical structure of relation among TRADING VOLUME, STOCK RETURN and RETURN VOLATILITY in financial markets, there still is not a general consensus about it. This study discovers latent information in variables time series for 96 months (April 2007- March 2015). To do so, related time series decomposed by using the maximum overlap discrete WAVELET transform and WAVELET coefficients has calculated. Then the relation between the series is examined by GRANGER CAUSALITY test. The main feature of this research is to investigate the relation between variables at different time intervals. The results show that during the 2007 to 2015, the relation between variables in different time intervals varies. As in some periods, the GRANGER CAUSALITY test confirms the causal relation between time series, while in some other time periods it does not support the existence of such relation.

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APA: Copy

ABBASI, EBRAHIM, DEHGHAN NAYERI, LEYLA, & POORDADASH MEHRABANI, NAZILA. (2017). SURVEYING THE RELATION BETWEEN TRADING VOLUME, STOCK RETURN AND RETURN VOLATILITY IN TEHRAN STOCK EXCHANGE: A WAVELET ANALYSIS. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 4(4 (15) ), 99-114. SID. https://sid.ir/paper/245704/en

Vancouver: Copy

ABBASI EBRAHIM, DEHGHAN NAYERI LEYLA, POORDADASH MEHRABANI NAZILA. SURVEYING THE RELATION BETWEEN TRADING VOLUME, STOCK RETURN AND RETURN VOLATILITY IN TEHRAN STOCK EXCHANGE: A WAVELET ANALYSIS. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2017;4(4 (15) ):99-114. Available from: https://sid.ir/paper/245704/en

IEEE: Copy

EBRAHIM ABBASI, LEYLA DEHGHAN NAYERI, and NAZILA POORDADASH MEHRABANI, “SURVEYING THE RELATION BETWEEN TRADING VOLUME, STOCK RETURN AND RETURN VOLATILITY IN TEHRAN STOCK EXCHANGE: A WAVELET ANALYSIS,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 4, no. 4 (15) , pp. 99–114, 2017, [Online]. Available: https://sid.ir/paper/245704/en

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