العلاقة الديناميكية بين حجم التداول وتقلب عوائد أسهم المصارف المدرجة في سوق دمشق للأوراق المالية

Abstract

This study examines the dynamic relationship between trading volume and conditional return volatility of listed bank stocks on the Damascus Securities Exchange using a balanced monthly panel for 14 banks over 2015M01–2024M12. Stock returns are first constructed from closing prices, then residual heteroskedasticity in an AR(1) return specification is tested to confirm time-varying risk. Conditional volatility is subsequently extracted for each bank via a GARCH model estimated by maximum likelihood. Descriptive statistics indicate pronounced non-normality in both returns and trading volume, with heavy tails and highly intermittent trading episodes, consistent with limited market depth and rapid shifts in risk appetite in the Syrian context. Cross-sectional dependence tests reveal significant common shocks affecting banks’ trading activity and volatility, while Pesaran’s CIPS confirms stationarity once cross-sectional dependence is accounted for. Dumitrescu–Hurlin panel causality results suggest that conditional volatility precedes trading volume, whereas the reverse direction is not supported. Finally, a dynamic panel GMM specification with cross-section SUR indicates a positive and statistically significant association between conditional volatility and trading volume, supporting the view that heightened uncertainty increases portfolio rebalancing intensity in a thin and shock-prone market.