Investigating the relationship between the volume of stock transactions and the change in stock prices in companies listed on the Tehran Stock Exchange

Dissertation for Master's Degree

Major: Accounting

Abstract:

The purpose of this research is to investigate the relationship between the volume of stock transactions and the change in stock prices in companies listed on the Tehran Stock Exchange. The volume of exchanges actually examines the issue of price stability and accuracy, and researches that do not consider the volume of exchanges along with the price do not actually consider the issue of price accuracy. Based on this, after a comprehensive review of the subject literature related to the volume of transactions and stock prices, the correlation tests between the research variables were conducted on the data related to the statistical sample of the research including 70 companies present in three highly traded industries of the Tehran Stock Exchange. The results of the research have shown that there are relationships in the structure of market transactions, and the number of trading times, the number of traded shares, and daily stock price changes have a positive relationship with each other. This relationship also exists in the time interval of one day, so the change in stock price is derived from the number of traded shares and the number of times traded the previous day, while the change in stock price during consecutive days follows an upward or downward trend.

Introduction:

One ??of the important features in developed industrial countries is the existence of a dynamic money and capital market. On the other hand, in any economic system, a group with more activity and proper savings create savings for the future, how these savings are used can have positive or negative effects for the society. If these savings are directed to the production sector with the correct mechanism, in addition to creating returns for capital owners, they can also be useful as the most important factor in providing capital for launching economic projects of the society, and if they get into unhealthy economic flows, they will have inappropriate effects on the society. One of the most important tools that has the ability to attract these liquidity is the stock exchange and the mechanism of stock buying and selling operations, which plays an important role in this regard. Because the capital owners can use their capital with the expected return by buying shares and on the other hand, participate in providing financial resources for the country's industries. Investors consider the capital market as a suitable place to attract financial resources and investment, and that is why today in developed countries, the stock exchange is one of the economic institutions of the society, and its operation is one of the important indicators that shows the socio-economic situation of these countries and is analyzed in this regard. On the other hand, any instability in the stock market can also lead to huge economic crises. With the quantitative and qualitative expansion of the capital market and the increase in the number of market participants, the need to increase studies to inform the investor class is more evident than before (Khosrovabadi, 2014, p. 77) 1. Therefore, in order to explain the governing structure of transactions, this study investigated the relationship between the volume of transactions and price changes in the Tehran Stock Exchange. In the rest of this chapter, there are materials related to the importance of the subject, statement of the problem, conceptual model of the research, goals, assumptions, scope, definition of words and limitations of the research.

2-1- History Studies

The current research has been conducted in the United States and other stock exchanges in the world. Ying first discovered the mentioned relationship in 1966. Crouch and Clark, Eps and Eps, Mergan, and also in recent years, Wei Chin and Girard and Imran achieved similar results by changing the subject and time domains of the research. In all the researches, a positive and weak correlation was observed between the volume of transactions (v) and the absolute value of the price change. Also, researchers also investigated the relationship between v and paid and found significant relationships.

The researcher's investigations indicate that there are only a few similar researches in this field in Iran.

The investigations carried out by the researcher indicate that there are only a few similar researches in this field in Iran, which were conducted by Mustafa Ghaemi in 1379 and by Mehdi Zivdari in 1384, and they came to the conclusion that an increase or decrease in the volume of transactions causes an increase in the change in stock prices.

3-1- Statement of the problem

One ??of the important indicators of any market is the volume of exchanges that take place in it. In fact, the market of a commodity in the economy is important when it takes a larger share of that economy. But the stock market has a fundamental difference from the market of other goods. In the market of other goods, most of the buyers of goods are consumers who buy the goods because of their needs. Each product has its own elasticity of demand and the consumer must buy and consume the desired product (or its substitute) even if the price increases. However, in the securities market, no one has a basic need for securities, and if the price of a type of securities is unbalanced, fewer buyers will be found, so the price is an essential factor in the securities market (Omid Ghaemi, 1379, p. 89) 1. Therefore, identifying and measuring the relationship between the price of securities and other factors affecting it will have a significant impact on the future decisions of market factors.

In the research conducted in the field of the Tehran Stock Exchange, most of the relationship between the internal information of companies and their financial status with the price of the company's stock has been examined, and less attention has been paid to the market itself as a factor influencing the price of the company's stock. The fact is that in many cases the change in the stock price of companies is not caused by a change in their financial situation, but by psychological and internal market factors. Also, in the majority of researches, the effect of the release of company information has been examined, while in this research, the effect of the release of market information and the use of it by traders is considered, and therefore, the most basic information published by the stock exchange organization regarding the status of transactions has been considered. The statistics of daily stock transactions are published in almost all widely circulated newspapers and are available to the public. The release of information in this way by itself evokes the question in the minds of the information users, what information does the stock trading statistics contain, and what is the reason for the emphasis of the Tehran Stock Exchange Organization and other stock exchanges in the world on the release of said information?

Could the increase and decrease in the volume of transactions of a share indicate the existence of a series of information that some traders are not aware of? Will uninformed traders buy shares based on transaction statistics and without obtaining this information? The number of trading times and the number of shares traded is a sign of the attractiveness of shares for buyers and can indicate the number of buyers of a company's shares on the one hand and the number of sellers of the desired shares on the other hand (Qaemi, 1379, p. 125) 1.

Abstract:

The purpose of present research is the investigation of the relationship between stock price changes and trading volume in accepted companies in Tehran stock exchange. The trading volume describes the consistency and accuracy of the price. In fact, the researches which do not consider trading volume along with price changes, do not take into account the price accuracy. Therefore, after a comprehensive review of subject literature, tests of correlation variables were done on samples of 70 companies in 3 high transaction industries. The results indicated that there are correlations in the market structure. Trade frequency, the number of traded stocks and daily price changes had positive correlations with each other. These correlations also exist in an interval of one day. So the price changes are caused from trade frequency and the numbers of traded stocks taken place the day before. Furthermore, the price changes follow ascending or descending trends during consecutive days.