Chinese Stock Market Volume And Price Empirical Study

This paper investigates the relationships between return rate, return volatility and trading volume of Shanghai Stock Market Comprising Index and Shenzhen Stock Market Component Index in different market trends with the newest data. Empirical analysis is the main method in the paper, which is about dynamic characteristics between the trading volume and return rate.Empirical results show that China's stock market have different relationships between price and trading volume under different market trends. In the bull market, the Chinese stock market is consistent with the Mixture Distribution Hypothesis (MDH) theory, and there are some relationships between the price and the trading volume, especially, the unexpected trading volume (trading volume of information) plays an important role in the relationship interpretation. But the trading volume's interpretation capacity is limited and it can not fully explain GARCH effects in stock market. In addition, there is no significant "leverage effect" in China's stock market. In the bear market, the yield sequence shows the basic characteristics of random walk, similarly obeys normal distribution, which is in line with the assumption of the classic theory of financial market. So we can think that China's stock market is basically in a state of weak-form efficient in this period.