In this article an empirical analysis has been performed to study the relationship between the volume of stock trades and the stock returns volatility using the MDH model at the Tehran Stock Exchange Market. We also have tested the stock trade volume and conditional returns in the framework of the GARCH model. Contrary to the work of Lamoureux & Lastrapes (1990), when the trade volume is included in the model as an exogenous variable, the findings of this study did not confirm the weakening of the significance and the value of the parameters of the conditional variance. Also, despite studies done in developed countries, return volatility, when trade volume is replaced by the information variable, did not disappear or subside.So the MDH hypothesis for the Iranian stock market did not hold. The main reason for this is that the stock related information, which is one of the principle assumptions of the MDH model, does not enter the market continuously. JEL Classification: R53
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