International Journal of Business and Social Science

ISSN 2219-1933 (Print), 2219-6021 (Online) DOI: 10.30845/ijbss

Relationship Between Market Volatility and Trading Volume: Evidence from Amman Stock Exchange
Izz Eddien N. Ananzeh, Qasim M. Jdaitawi, Ahmed M. Al-Jayousi

Market expectations of future return volatility play a crucial role in finance; we investigate the empirical relationship between return volatility and trading volume using data from the Amman Stock Exchange (ASE) for 27 individual stocks, using daily data for the period 2002-2012. The results indicate that trading volume significantly contributes to the return volatility process of stocks in Amman stock Exchange, as suggested in many studies. On the other hand, the results also signify that the Trading volume has no significant effect on the reduction of the volatility persistence for majority of stocks in the sample, challenging the existence of “Mixed Distribution Hypothesis” in Amman stock Exchange.

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