Empirical Analysis Of The Relation Between Price Change And Volume In Shenzhen Stock Marke

In the past 10 years more, The development of China's stock market has made tremendous contribution for the growth of Chinese national economy . It becomes an important place for the society resources disposition. But since our country capital market develop depthly and directly, with economic environment changes, many new difficult problems in stock market arise too. So, there is a need to unify the current capital market conditions of our country and study the operation mechanism of stock market in order to promote the healthy development of China's securities market. The stock market run two important basic indicators: stock prices and trading volume. From the research of the market price, the transmission and evolution of information can be deduced, also the impact of new information on market and market pricing from information can be revealed. So this paper will use the Shenzhen Composite Index to study the relationship between stock prices and trading volume in china, mainly by quantitative measurement models.Although there have been a large number of empirical research on the relationship between stock prices and trading volume at home and abroad. Most of them are in the static view, and many scholars in empirical studies, did not take into account that investor sentiment is an important variables to stock market investors , so there are certain limitations. In order to further explore the relationship between them, there is need to study from the dynamic perspective and introduce subjective psychological variables such as investor sentiment for a further analysis. In empirical analysis, we firstly make a decomposition of trading volume whose time trend have been removed into expected trading volume and non-expected trading volume according the internal structure of the trading volume. Subsequently, from the dynamic point of view, this paper analyze the causal relation between returns and volume of transactions using GC-MSV model and the relatively stable and effective method of MCMC. Finally, by introducing into the impact on investor sentiment, the paper study the dynamic forms of the causal relation of them using impulse response function and variance decomposition. The results showed that: Shenzhen stock market returns and its volatility yield Granger Causality changes to the nontrend trading volume, expected, unexpected trading volume and their volatility. The stock market returns,its volatility and investor sentiment have different impact on these three variables. We also find that stock market returns and its volatility influence on trading volume mainly by impacting the expected volume.