Document Type : Article-Based research project


1 PhD in economics and lecturer at Modaresan Sharif Institute of Higher Education.

2 Assistant Prof., Department of Management and Economics, Faculty of Humanities and Social Sciences, Golestan University, Gorgan, Iran.



Since the 1960s, the relationship between trading volume and stock price (return) has been the focus of financial and economic researchers, and various methods have been proposed. The purpose of this research is to investigate the correlation between stock returns and trading volume in Tehran Stock Exchange during the period from March 2009 to March 2021. This study uses an econophysical approach, titled “Detrended Cross Correlation Analysis (DCCA)” method to identify the possible relationship between trading volume and stock price returns in Tehran Stock Exchange market. Unlike the previous methods, according to this method, it will be possible to change both the amount and the direction of correlation due to the change in time and scale. The DCCA method is implemented based on sliding windows with variable sizes and rolling. For a more detailed analysis and comparison, the results obtained from the windows with 20, 60 and 241 observations (based on the approximate number of working days in each month, season and year after excluding holidays) have been analyzed and compared. The obtained results showed that when the window length is equal to 20 and 60, the correlation values are very low and they are close to zero in many years. But with the significant increase in the number of observations and considering the windows of length 241, the intensity of correlation has increased and has been positive in most years with a downward trend. in other words, the pattern of time changes observed around the correlation coefficient between these two variables indicates that this relationship is dependent on is the length of the rolling windows and the number of observations. Accordingly, cross-correlations are not constant and exhibit considerable variations with the change in time and scale, so that with a significant increase in the length of the scale and the number of observations, the correlation has increased and is positive in most years, but it has been in a downward trend.


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