The purpose of this research is to statistically investigate the effect of trading volume on daily returns obtained in exchange traded fund as one of the new achievements of the capital market and the results obtained with the relationship between volume - returns are compared in the capital market. In order to investigate the subject of the study, information on the financial statements of tradable investment funds was extracted by Eviews and Stata statistical software during the year 2022. The results show that the trading volume (in terms of value of rials transactions and quantity) in Exchange Traded Fund has not significant impact on returns earned by them. Also, the trading volume carried out on the units of these funds had a negative and meaningless effect on the daily returns obtained by them. Regarding the relationship between volume and return in the capital market, the findings show that trading volume had a positive and significant effect on the daily return of the market. Also, with the increasing volume of transactions, the amount of daily return has been increased and more prosperity and efficiency have been observed in the capital market. In addition the use of quantile regression compared to normal regression, gives a better view of the effect of the independent variable on the dependent variable because the normal regression presents the result of the effect of the independent variable on the dependent in the form of an average while Quantile regression shows this effect in different quantiles.