The Relationship between Trading Volume, Volatility and Stock Market Returns: During a Pre- and Post Revolution on Tunisian Stock Exchange

This paper investigates the relationships between trading volume, volatility and stock market returns, by using daily data of the Tunisian stock exchange, during its pre and post revolution period from January 2006 to December 2015. The results indicate that the return volatility is best described by a GARCH (1,1) specification. We have included volume in the conditional variance equation as an additional explanatory variable in the GARCH model, to examine if volume can capture GARCH effects. Our results show that the persistence in volatility remains in return series even after volume is included in the model as an explanatory variable. This finding holds during the pre and post revolution period