Study On The Relation Between The Return Rate, Return Volatility And Trading Volume Based On Elasticity And Plasticity Of Stock Price

Volatility is one of the most important indicators to evaluate the stability of market. It is intuitive, succinct and concentrated to express the quality and operation of the stock market efficiency. Along with the development of China's stock market, a better understanding of market risk is needed. And, through a series of indicators to monitor the situation changes, appropriately control on the stock market is used timely when facing changes threatening the stability of the market to ensure the healthy and orderly development of stock market.Because any one of the factors (external and internal) impacting the stock market will inevitably reflected in the final act of stock market, the price and trading volume become the basic variables to describe return and risk of stock market. This paper explores whether stocks are a kind of commodity; What effect will be caused between the stock price and trading volume if some external factors change; what is the relationship between the stock price and trading volume; what is the elasticity and plasticity feature of stock. On this base, Proposals can be put forward for further policy enactment.This paper is organized with the following logic:Firstly, the background and significant of the topic are introduced. Although relations between the price and trading volume of stock are applicated wildly in investment, a specialized research academically is very scarce. Literature reviews on the relationship are included.Secondly, with the beginning of whether stock is a kind of commodity, this chapter discusses how the increasing of interest rate effecting the price and quantity of stock. The empirical results is that, the interest rate increasing of March 18, 2007 did not yield a significant impact, but also failed to stop prices continue to rise, and volume to expanse. Thirdly, taking Shanghai Stock 180 Index as example, the author has made descriptive statistic analysis on the rate of return, price and trading volume at first, then shows that the return series don't obey the normal series, but the sharp skewness and fat tails; the author proves that the price and the trading volume has a long-term tendency by carrying on the integration and co-integration test. In the end, the author makes a conclusion that the effect from the stock price on trading volume is stronger than the trading volume on price after making the linear and non-linear Granger cause test respectively on the price and trading volume of stock.Fourthly, making the single stock as our research object, the author selects 20 stock samples at random, then carries on the research respectively on elasticity and elasticity of the stock., and makes a clustering analysis using the moving average elasticity coefficient which can be gotten by calculating and elasticity coefficient which can be gotten by improved stock price model, the result also show that the price has more influence on quantity. At the end, the author analyses these factors which influence on the change of stock price and trading volume from the macro and micro aspects.Finally, the author makes a summary on this paper. According to the research resulting of relationship between stock price and trading volume and standing on the position of the policies maker, the author proposes some opinions which are provided for reference.