The Relationships Between The Trading Volume And Return Rates Of China's Stock Market Based On Quantile Regression

As usual, trading volume and prices are the basic information we can directly get from the market, researches about the relationships between these two variables are helpful for us to understand more about the stocks and the market.This paper studies the relationship between the trading volume and return of China's stock market; it will use Quantile Regression as the main method and combine the situation of China market and the foreign market (USA stock market) to find more information about the relationships of trading volumes and return.The paper consists five chapters. The first chapter summarizes and generalizes the actual study developed by overseas scholars. The second chapter will introduce and describe the Quantile Regression way and its applications. In the third chapter, it will analyze the relationships of trading volumes and return of three different stock plates (that are plates of big, middle and small size companies) of China market. It will also analyze different stages to see more deeply. Then it will compare China and USA market to see where the differences are and why. The last chapter is the conclusion.Firstly for all these different plates, after 25% fractile, return rates and trading volume have positive correlation; return rates go up and down with the increase and decrease of trading volume. But at the left tail, the correlation is negative. And in all fractile, compared with other plates, volumes' influence on prices for the plate of big size companies is smaller. Secondly, in the steady stage, plates of middle and small size companies have almost the same variation rate. In bear stage, return rate of prices are more sensitive to the change of volumes, it's about two times as in the bull stage. Moreover, in bull stage, compared with other two plates, plate of big companies has different performance. It continues to show positive correlation, but for other two plates, the positive correlation is going weaker.From the international perspective,βof SSE composite index and Shenzhen index were under zero at the left of 20% fractile and above zero under other situation. The Nasdaq index, Standard & Poor's index of 500 and Dow Jones Industrial Average were under zero at the left of 50% fractile and above zero under other situation. This shows that American stock market is under healthy operating mechanism and is not manipulated by people, investors mostly make value investment. But China market is still pushed by money, most of investors are speculators. Moreover, there is weak correlation between China and American market, the fluctuation of these two markets is mainly influenced by their own history data.