This study sought to find out whether there is any significant relationship between
the in trading volume shares of Syrian companies listed in the Damascus market Securities
Exchange, and Volatility of stock returns monthly in that market, during t
he period 1-1-
2010 till 31-8-2014, and to discover what kind of that relationship (positive or negative
correlation) in order to give appropriate weight to them for interpreting fluctuations in the
volume of trading in the stock Damascus market Securities Exchange, or for predicting.
When using the method of Nonlinear regression analysis method GARCH(1,1) to process
the data related to Return on the stock in DSE we found that the relationship between the
trading volume shares and volatility of stock returns wasn't statistically significant. This
volatility in stock returns mustn't be taken into account as an important factor when trying
to explain the reasons for fluctuations in trading volume market or when predicting.
The general index of the financial market of the important
economic indicators in any country is being reflects the
economic situation and economic activity in the country, so
attention must be appropriate methods for predicting the
performance o
f this indicator in the future and look at the
factors that affect in it .
This study aimed to the conclusion based, follow Box-Jenkins
methodology for building predictive models ARMA (p, q) and
check models" residuals, and predict the performance of the
general index of Damascus Securities Exchange DWX, as
well as the volume of trading in this market, and studying the
impact of the relationship between them .