The Informational Content of Abnormal Trading Volume of Shares Listed at Tehran Stock Exchange

Abstract

This paper investigates the informational content of abnormal volume trading of shares listed at Tehran Stock Exchange (TSE) using an event study methodology. The results for a sample of 48 Iranian firms during 1385-1388 show that there are abnormal returns before and after the abnormal trading volume dates. Regression analysis also shows that there is a significant relationship between trading volume data and returns on days after the event date, meaning that future returns are predictable using trading volume data. These results provide directly evidence on informational content of abnormal trading volume and indirectly on inefficiency of TSE. Distributing trading volume data across the exchange can put traders with no insider information in a better informational position.

Keywords

• insider information
• abnormal volume trading
• abnormal return
• event study