Applying the GARCH and COPULA Models to Examine the Relationship Between Trading Volume and the Value of Trading with the Bubble Pricing

Given the importance of the securities market in each country's economy and the adverse effects of the price bubble on the irrational fluctuations of the stock market, it is clear that it must be prevented; therefore, with reference to the ambiguity of the factors causing the price bubble, research is underway. Investigating the relationship between the volume of transactions and the value of transactions with the price bubble in different industries of the Stock Exchange during the years 2006 to 2016 is a step towards recognizing this phenomenon.To investigate these communications, we used DCC-GJR-GARCH, diagonal BEKK and COPULA models. The results of the study of the relationship between the volume of exchanges and the value of exchanges with price bubbles suggest that there is a negative and complete correlation between them. In relation to the study of the relationship between price bubbles and research variables, we found that oil prices have a reverse and significant relationship with bubble prices. Other variables are not meaningful relationships with price bubbles. Also, in the study between variables of research with volume of transactions, it was determined that changes in tax volume and oil price variables have a reverse and significant relationship with the volume of transactions and the value of transactions with the volume of transactions has a direct and significant relationship.