Study of Short term and Long term Relationship between Change Variables in Stock prices and Stock Transactions Volume in Tehran Stock Exchange

In order to achieve maximum interest ,investor uses transactions volume factor to forecast stocks price .We have studied relationship between change variables in stocks price and the volume of stocks transactions in Iran Stock Exchange using the Autoregressive Distributed lag Model (ARDL) in this research. Research period includes the years 2005- 2012 .The required data have been collected for 45 companies using econometric methods; then, necessary tests have been performed upon all data of the companies and the hypotheses have been tested and examined. The results show that the variable of positive change in stock price ,negative change in stock price and transactions volume logarithm are stable and there is a long term relationship between price changes variables and transactions volume ; and stock negative and positive price have not had a similar effect upon transactions volume.