The Effect of Size and Information Environment on the Relationship between Stock Returns and Trading Volume

The effect of firms' size and information environment are investigated in this research. In this regard, disclosure executive instruction for companies registered at SEO and market value of firms (as independent variables) and the dynamic relationship between trading volume and stock returns (as dependent variable) are considered. Therefore, data of firms listed on Tehran Stock Exchange (TSE) and Farabourse Stock Exchange (IFB) are collected from 2001 to 2015 and from 2010 to 2015 respectively. Vector Auto Regressive (VAR) method is employed to analyze data and examine hypotheses. The results show that returns are Granger causality for trading volume; Moreover, size and information environment affec returns- trading volume relationship. In other words, the growth of firms' size and information transparency improvement strengthen the relationship between returns and trading volume.