• Adeel Mustafa Foundation University, Islamabad, PAKISTAN
  • Maria Tariq Foundation University, Islamabad, PAKISTAN
  • Sabra Noveen The University of Lahore, Lahore, PAKISTAN
  • Rabia Najaf Department of Accounting & Finance, University of Lahore, Islamabad Campus, PAKISTAN



Stock Return, Trading Volume, Stock Volatility, Egarch, Gjr-Garch

Abstract [English]

We use a bivariate GJR-GARCH model to investigate relationship between trading volume and stock returns. We apply our approach on Pakistan stock exchange on data from January 2012 to March 2016. Our major findings include that negative shock has a greater impact on volatility and investors are more prone to the negative news whereas according to GJR-GARCH good news has greater impact on stock return and there is a strong relationship exist between the trading volume,stock return and stock volatility.


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How to Cite

Mustafa, A., Tariq, M., Noveen, S., & Najaf, R. (2016). INVESTIGATION OF RELATION BETWEEN STOCK RETURNS, TRADING VOLUME, AND RETURN VOLATILITY. International Journal of Research -GRANTHAALAYAH, 4(7), 231–239.