Abstract

Mohammadreza Mehrabanpoor*, Babak Valizadeh Bahador and Gholamreza Jandaghi

This study provides a test of the price change-volume relationship. The relationship between price changes and volume in markets has been a topic of dispute among researchers in finance and economics for a number of years. The study investigates the empirical relationship between the stock exchange indices and turnover volume. Data gathered in time series form and variables have been determined from monthly reports of the Tehran stock exchange for the period from 2003 to 2009. The findings prove that there is positive relationship between exchange turnover value and stock exchange indices. An important but difficult part for further work in this area is to develop a theoretical understanding of markets that incorporates a lot of diverse agents, each of whom maximizes a multi period objective function subject to a stochastic environment. The joint distribution of price and volume could emerge in such a model.