This study investigates the dynamic relationship between stock return and trading volume in the banking sector of Amman Stock Exchange (ASE). In addition, it reveals the nature and direction of this relationship. Therefore, several tests were utilized to include: Bivariate regression model, vector error correction model (VECM), variance decomposition technique, impulse responds function, pairwise Granger causality and Johansenís cointegration tests. The empirical results show that there is no significant relationship between trading volume and stock return on the sub-index level. Moreover, our results show a significant relationship between trading volumes and return volatility. Furthermore, Johansenís cointegration analysis demonstrates that stock return is cointegrated with the trading volume indicating long-run equilibrium relationship. VECM provides evidence of long-run causality from return to trading volume. On the other hand, we used variance decomposition technique and impulse respond function to compare the degree of explanatory power of the trading volume over stock return. The evidence supports the influential role of the stock return in Amman Stock Exchange. Finally, pairwise Granger causality test reveals that past values of stock return were useful in predicting trading volume in ASE. The study concludes that stock price changes in any direction have informational content for upcoming trading activities.