Intra-group and inter-group trading differentiation analysis: A new approach for detecting the effect of trading volume on stock market fluctuations

► The impact of trading volume on statistical properties of market returns is examined. ► To this end, the trading of different traders in Tehran Stock Exchange is analyzed. ► A new coefficient for measuring the equilibrium between these traders is defined. ► We adjusted market returns by this coefficient. ► The effect of this equilibrium on the market returns is assessed.