This thesis examines the relationship between trading volume and price changes, namely the relationship between trading volume and that of the absolute level of price changes and the direction of price changes. Prior studies have suggested that there is a positive but asymmetrical relationship between trading volume and the absolute level of price changes. The results indicate that this positive price-volume relationship is stronger for the smaller indices like the MidCap 50 Index and the Small Ordinaries Index. On the contrary, there is no evidence of this asymmetrical relationship in the larger indices like the ASX 20, ASX 50 and ASX 100 indices. This is probably due to the lower cost of short selling the larger stocks. In addition, the "high volume return premium" of Gervais, Kaniel and Mingelgrin (200 1) is examined. While there is some evidence consistent with the "high volume return premium", most of these abnormal returns come from the smaller stocks that experienced abnormal high trading volume.