چکیده (انگلیسی):

ABSTRACT: The main purpose in this research is investigating the relationship between return, risk and stock
trading volume. Statistical population is included 59 listed companies in Tehran Stock Exchange during 2003 to
2011.Vector Auto regression Estimates and Granger causality test have been used for testing research hypotheses.
Also 3 hypotheses have been proposed. The findings show that in the first hypothesis between systematic risk and
return with two interrupts significant relationship exists but in the second hypothesis there is no meaningful
relationship between trading volume (trading size) and return with two interrupts but trading volume (trading
turnover) and return with two interrupts inverse and significant relationship exists. Finally in the third can conclude
between trading volume (trading size) and return is unidirectional relationship and between trading volume (trading
turnover) and return is reciprocal relationship.
Keywords: Stock Return, Systematic Risk, Trading Volume, Causality Test