Providing a model of trading volume relationships, transaction value with stock returns and price bubbles in different industries of Tehran Stock Exchange by using COPPOLA functions and GARCH models

The purpose of this study was to investigate the relationship between volume of transactions and value of transactions with stock returns in the stock exchange and various stock markets during the years 1385 to 1395. To investigate these communications, we used MGJR-GARCH, DCC-GJR-GARCH, diagonal BEKK and COPULA models. Between trading volume changes and stock returns of companies there is a two-way and direct relationship, but the relationship between transaction value and stock returns is one-way, and only the value of transactions that affects stock returns. Also, in the review of variables Researches with volume of transactions revealed that changes in the variables of liquidity volume, annual returns and oil prices with the volume of transactions have a reverse and meaningful relationship, and the returns of companies' shares and the value of transactions with the volume of transactions has a direct and meaningful relationship. Also, other than the volume of transactions, other research variables have a significant relationship with annual stock returns. The volatility of the volatile variables, the volume of liquidity and the price of gold, direct effect, and the changes in the value of transactions and oil prices have a negative effect on the returns of companies. The only variable whose volatility affects the price of oil is the return on shares of the companies.