Co-integration Technology And The Application In The Securities Market Of China

In the modern investment theory, what people knew very well is Markowitz's investment combinatorial theory. But this theory and some theories that thereafter appeared have a very serious problem: these theories and function of model are very limited in the practicing. Instead of an opposite one being: technological analysis gets extensive application on the practice circle. The contrast of the two lets people think deeply about how could make the modern theory correspond to reality further, and then guide practice. I think that technological analysis can get so extensive application, must be its reason, and the modern investment theory should absorb its rational composition. At present, of three major key elements in technological analysis: time price and trading volume, the factor of the trading volume is paid attention to more and more by theory worker. A lot of scholars, from the different research angle of relation between price and trading volume, have got a lot of meaningful conclusions.This paper uses co-integration technology to examine the relation between price and trading volume. Co-integration technology was put forward by Grainger in the 1980s, overcoming the difficulty that traditional analytical method can only deal with linear variable, therefore gets extensive application, especially in economic field, because economic variables are mostly non-linear variable. This text has examined causality, dependence and co-integrate relation between prices and trading volume, and find that the causality, dependence of prices and trading volume are not strong, and the co-integrate relation between two variables does not exist either, however, there is co-integrate relation of many variables between trading volume and price. The conclusion of inspection agrees with that modern investment theory should absorb the trading volume factor.