This paper attempts to explore the relationships of return-trading volume and volatility-trading volume. trading volume may represent a proxy of information, liquidity, and momentum. The up and down of trading volume, therefore, contain certain information that can be extracted by traders to make investment decision. Regressions of market return on its lags, volume, and conditional variance and regression of volatility on its lags, volume, and conditional variance are employed. Traders may respond positif information differently from negative information. To accommodable such behaviour, threshold auto-regressive conditional heteroskedaticity or TARCH is employeed. Using market data of (form year 2000 to 2007) indicate the existence of return - volume relationships as well as volatility - return relationships albeit not very strong. There is also an indication that traders respond positive information differently form negative information concerning  return movements but there is no indication concerning volatility movements.