Volume- & Size-Related Lead-Lag Effects in Stock Return & Volatility: An Empirical Investigation of the Tehran Stock Exchange

This research analyze the resource and structure of cross-autocorrelation in returns and volatility of stocks that listed in the Tehran Stock Exchange during the period Farvardin 1382–Eisfand 1386, with employing the GARCH model. At the first, the results show that, in down(bear) market, return on high trading volume portfolio lead return on low trading volume portfolio, when controlled for firm size, but this is the case for short-term. Second, this study indicated volatility spillovers from low trading volume (small size) portfolio to high trading volume (big size) portfolio returns. These findings are just opposite of the results documented by Bartosz Gebka. Additionally, the empirical finding indicates that the speed adjustment of the returns portfolio to market- wide information is the same for up and down markets. These findings are contradictory with the results of Bartosz Gebka. He show that, in both up and down markets the speed of adjustment of low volume (small size) portfolio to common market-wide information is slower than the lagged high volume (big size) portfolio and this is the case for either short-term or long-term.