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Al-Fayyoumi, N. (2003) Information Arrival, Trading Volume and Price Variability: An Applied
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٢٦
The Relationship between Trading Volume and Stock

Return in Arab Stock Markets
H .M. Al-Zubaidi, Khaled A. Al-Zoubi*

and Abdullah A. Twairesh**
Faculty of Administrative & Financial Studies
The University of Graduate Studies, *College of Economics
and Administrative Science, Amman,The Hashemite
University, Zarqa, **College of Banking and Finance
The Arab Academy for Banking and Finance, Karak, Jordan
Abstract. We examine the dynamic relation between trading volume

and return in seven Arab Stock Markets by using monthly data of
stock indexes that are obtained from Arab Monetary Fund database
covering the period from 1994-2003. The results show a positive
correlation between trading volume and return and the absolute value
of return. Granger causality test demonstrates for some countries;
return cause volume but not volume cause return. And there is
bidirectional relation between trading volume and absolute value of
return in Amman Stock Market. The results are robust across the
seven stock markets.

العلاقة بين العوائد السوقية وحجم التداول

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العلاقة بين العوائد السوقية وحجم التداول

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The Relationship between Trading Volume and Stock

H .M. Al-Zubaidi, Khaled A. Al-Zoubi*

Abstract. We examine the dynamic relation between trading volume

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