Predicting Stock Returns by Focusing on the Measures of Trading Volume of the Companies Accepted in Tehran Stock Exchange

The present study examines the relationship between stock returns and trading volume in Tehran Stock Exchange. In so doing, the daily data of the companies listed in Tehran Stock Exchange of a period of ۷ years were used (from March ۲۰۰۶ to April ۲۰۱۲). This study focuses on the ability of predicting stock returns by the measures of trading volume. The SPSS software, and the minimum standard deviation of the average square of variables (probit analysis) were employed and the results indicate that the measures of volume (trading volume, delayed volume, volume change, and delayed volume change) are not appropriate to predict the stock returns of any of the companies. Also, the estimated model of the study for different industries reveal that the measures of volume cannot be used to predict stock returns and the only exception is the non-essential consumer goods industry.

کلیدواژه ها:

Stock Returns ، trading volume ، delayed volume ، Predicting Stock Returns. ، بازده سهم ، حجم معامله ، حجم تاخیری ، پیش بینی بازده.