Empirical Analysis On Trading Volume's Factors On Shanghai Stock Market

Securities and investment market has an important role in the development of national economy, stock market development tend to reflect a certain period of comprehensive economic development level. Volume, as important information in the stock market, reflects the public and internal information, through the research on volume could be more in-depth understanding of the structure of stock market. Many scholars made studies in-depth, but the research about the domestic stock market trading volume academic factors in China is not complete. The influential factors about China's securities trading volume are still unclear, and this problem is crucial of our understanding the China's securities market. Analyzing the volume factor is very important. Having a full realization of the factors of trading volume can help investors make the right portfolio decisions to increase return. It can also help government to regulate the listed companies. Basic on modern portfolio theory and other financial theories, and according to foreign reference, search more factors that influence trading volume and analyze them by panel data.In the 111 listed companies, according to China's Shanghai Stock Exchange from 2000 to 2009, during the week of 10-year data, estimating systematic risk and non-systematic risk through the rolling model. And use excess returns, transaction costs, price and other variables, by panel data analysis, the study found:(1) Excess stock returns and trading volume have a positive relationship; (2) Systematic risk is negatively related to trading volume, the higher the systematic risk, the greater the pressure to buy securities, then trading volume decreased; (3) Transaction costs and trading volume have a positive relationship, transaction costs will reduce the real rate of return, it needs to be paid attention; (4) Stock price and trading volume of have a negative relationship; (5)The price exceed the maximum or lower than the minimum of the price in 48weeks before has asymmetric impact on the trading volume, and positive returns and negative returns on the Shanghai stock market also have asymmetric impact on the trading volume. In summary, excess stock returns, systematic risk, transaction costs, stock price and so on have a certain effect on the trading volume.