Profitability of momentum strategies and the impact of trading volume in Tehran stock exchange

Based on momentum strategies (momentum), stock return has a particular behavior at various time intervals, and in the time horizon considered can to take the excess returns earn, by using an appropriate investment strategy, this view is contrary to the efficient market hypothesis.
This study examines the relationship between volume and its effects on the profitability of the momentum strategy in Tehran’s Stock market. The hypothesis is that volume can affect the momentum strategy as well as the decisions of the investors in Tehran’s stock market. The statistical society of the research consists of the total company active in Tehran stock exchange in the fiscal years 2008 to 2012.Our findings show that in most cases, momentum investing strategies, test portfolio in periods of three, six, nine and twelve months has had the best performance (win) in the majority of the maintenance periods (period three, six, nine and twelve months)to be continue to its better performance than a portfolio that in periods of three, six, nine and twelve months have been the worst performance (losers). The results also show that the volume of transactions (independent variable) and return (dependent variable) there is no relationship. While the excess market return (the independent variable) and the excess return on the winner portfolio (the dependent variable), there is a significant relationship.