Study On Price Behavior Of Stock Market In China Based On Trading Volume And Stock Price Analysis

The paper focuses on the stock market of China and analyzes the price behavior of it profoundly by the method of empirical research combined with normative research from aspects of the relation between trading volume and stock price, the momentum phenomenon and the price behavior of IPOs.It is found that, there is not only static relation but also dynamic relation between trading volume and stock price. Information trading volume is the main source which induces the relation. It means that trading volume contains important information about price change. The momentum (or reversal) strategy based on trading volume can get significant abnormal return while the simple momentum can't, which indicates that trading volume contains important information about price change for the second time. Post-list IPOs present a distinct characteristic of high under-pricing, short-run under-performance and long-run high-performance. There are some rules of long-run price behavior of IPOs. The strategies set on these rules can get significant abnormal return.These results deny the efficient of stock market in China from different aspects. On the other hand, they provide a strong support to the technical analysis based on trading volume and stock price relation.