Trading Volume and Return from Contrarian and Momentum Strategies in Tehran Stock Exchange

One of the most challenging observations in financial markets is that the common stock return، In contrast with the efficient market hypothesis، has special behaviors in various time intervals. One of these abnormal behaviors is as a result of momentum and contrarian strategies. This study investigates the effect of trading volume on contrarian and momentum strategies performance using a sample of 108 listed firms'' data in Tehran Stock Exchange during 2003-2011. The sample data were collected from Tadbir Pardaz and Rahavard Nouvin software. The research hypothesis was tested using mean comparison، ANOVA and Tokay tests. The results showed that the momentum strategy in high and medium trading volume is profitable quarterly. Also the momentum return will increase when the trading volume is increased.