Survey the asymmetric correlation between stock return, trading volume and volatility of Tehran stock exchange market (DCC-GARCH Approach)

In this research the asymmetric and non-linear correlation between the market returns and trading volume variables has modeled with the DCC-GARCH approach; and the impacts of market shocks، weekend and calendar effects on the market returns and trading volume are surveyed. The estimation results of parameters of the model by the maximum likelihood method show that previous day’s market return has a positive impact on the growth rate of trading volume، but the impact of trading volume growth rate at previous period on return changes is negative. Shocks on the stock market، weekends and calendar effects and the bad news affect the volatility of the stock returns and trading volume growth. Furthermore، the results of this study indicate that the impacts of positive and negative shocks and good and bad news on the volatility of trading volume growth rate and on the changes in market returns and on the correlation between them is asymmetric; and the correlation between changes in market returns and trading volume growth is non-linear and time-varying.