The Effect of Size and Information Environment on the Relationship between Stock Returns and Trading Volume

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ESNAASHARI HAMIDEH; Sajadi Seyed Ahmadreza

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Journal: JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH) Year:2019 | Volume:10 | Issue:40 Page(s): 59-74

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Title

The Effect of Size and Information Environment on the Relationship between Stock Returns and Trading Volume

Author(s)

ESNAASHARI HAMIDEH | Sajadi Seyed Ahmadreza | Issue Writer Certificate

Keywords

Trading VolumeQ2

Stock ReturnsQ2

Firms' SizeQ2

Information EnvironmentQ1

Abstract

The effect of Firms' Size and Information Environment are investigated in this research. In this regard, disclosure executive instruction for companies registered at SEO and market value of firms (as independent variables) and the dynamic relationship between Trading Volume and Stock Returns (as dependent variable) are considered. Therefore, data of firms listed on Tehran Stock Exchange (TSE) and Farabourse Stock Exchange (IFB) are collected from 2001 to 2015 and from 2010 to 2015 respectively. Vector Auto Regressive (VAR) method is employed to analyze data and examine hypotheses. The results show that returns are Granger causality for Trading Volume; Moreover, size and Information Environment affec returns-Trading Volume relationship. In other words, the growth of Firms' Size and information transparency improvement strengthen the relationship between returns and Trading Volume.

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APA: Copy

ESNAASHARI, HAMIDEH, & Sajadi, Seyed Ahmadreza. (2019). The Effect of Size and Information Environment on the Relationship between Stock Returns and Trading Volume. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), 10(40 ), 59-74. SID. https://sid.ir/paper/365593/en

Vancouver: Copy

ESNAASHARI HAMIDEH, Sajadi Seyed Ahmadreza. The Effect of Size and Information Environment on the Relationship between Stock Returns and Trading Volume. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)[Internet]. 2019;10(40 ):59-74. Available from: https://sid.ir/paper/365593/en

IEEE: Copy

HAMIDEH ESNAASHARI, and Seyed Ahmadreza Sajadi, “The Effect of Size and Information Environment on the Relationship between Stock Returns and Trading Volume,” JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), vol. 10, no. 40 , pp. 59–74, 2019, [Online]. Available: https://sid.ir/paper/365593/en

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