| This paper investigates the relationships between return rate, return volatility and trading volume of Shanghai Stock Market Comprising Index. Empirical analysis is the main method in the paper which is about dynamic characteristics between the trading volume and return.The paper consists of five chapters. The first chapter summarizes and generalizes the actual study developed by overseas scholars. The second chapter studied the inherent structure of trading volume, and then separates the trading volume series. In the third chapter, causality tests are used to examine the relationship between the return rate and trading volume. In the fourth chapter, we measure the return volatility by TGARCH (1, 1) model in order to study the dynamic characteristics between the trading volume and return volatility. The last chapter is the conclusion.We find that there is a kind of notable dynamic interdependence between the trading volume and return. Especially, expectable trading volume plays an important role. The study indicates trading volume contains useful information about the return, and then technical analysis is a comparatively effective means. |
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