Investigating the effect of volume shock on abnormal stock returns of companies listed on the Tehran Stock Exchange

The aim of this study was to investigate the effect of volume shock on abnormal stock returns. In terms of research method, this research is in the category of descriptive-correlational research and in terms of research purpose, it is in the category of applied research. The statistical population in this study is all companies listed on the stock exchange that 120 companies were selected as a statistical sample and the information of these companies during the years 1393 to 1399 from the database of Tehran Stock Exchange and Soft ¬New Rahvard ideas were extracted. EVIEWS software and data panel template were used to analyze the data. The results of the data panel model showed that there is a positive and significant relationship between volume shock and abnormal stock returns. Because the probability value of this variable (0.0032) is less than the standard value of 0.05. Therefore, the research hypothesis of a significant relationship between non-volume shock and abnormal stock returns is accepted. A coefficient of 0.098 indicates that with an increase of one unit in the volume shock of transactions, the amount of abnormal stock returns increases to the rate of 0.098 units. The results also showed that there is a significant negative relationship between equity returns and abnormal share returns. According to the results, there is a positive and significant relationship between financial leverage and abnormal stock returns. The results also showed that there is no significant relationship between firm size and profit margin with abnormal stock returns because the probability value of these variables is higher than the standard value of 0.05.