Research On The Application Of Panel Data Model In The Analysis Of Relationship Between Stock Price And Volume

With the development of information technology, panel data is increasingly becoming the main form of data carriers. Panel data models have become the main tool for the analysis of financial data, but the theory system of model for panel data is still in its infancy. It remains to be further improved. Based on the review of Panel data model components and combined with the characteristics of panel data, this paper expands the heteroscedasticity model in the analysis of time series, establishes panel data test of heteroskedasticity and builds basic theoretical system for panel data model of the heteroskedasticity. Then using that model analyze stock volatility, trading volume and the mechanism of the relationship between the price of different time and kinds to seek for the regularity of stock price volatility, price level and volume changes.Through analysing the relationship between the stock price and volume, we get the following conclusions. First, stock price is one of the leading reasons for the volume changing, but stock volume has little effect on the stock price changing. Second, small shares are more suitable to the investors that pursue high risk. Third, the effect that share price to volume in bull market is larger than that in bearlish. Fourth, from the intercept of the model we can know the enterprise's situation of different shares, different markets in different times.Its plus-minus reflects whether the enterprice is profitable, so that the investors can get more scientific information.However, the theory of panel data is imperfect. How to choose one suitable model, wether I should use FEVI-panel GARCH or REVI-panel GARCH is still a problem. How to realize the model via software hasn't been settled. Therefore, it need more scholars to do further study.