Abstract: This study attempts to explore the way stock traders explore the information that may be available in the stock trading volume. They may use current and past stock trading volume together with past returns and daily dummies to understand the current return and, at the same time, current and past trading volume together with past volatility and daily dummies to understand the current volatility. This study employs daily data on two different periods, i.e., crisis period and post or non crisis period. To explore those relationships, TARCH or Threshold Autoregressive Conditional Heteroskedasticity is employed. This study reveals that traders exploit information differently from trading volume toward return and volatility in different periods. They also behave differently to positive against negative information in both periods.