China's Shanghai And Shenzhen Stock Price And Volume Relationship Empirical Research

From establish up to now, Chinese stock market have already had a history of more than ten years. Whether consider from the quantity of issued stocks, or consider from the volumes in shanghai and Shenzhen stock markets, our stock markets all obtained the substantial development. Along with the Chinese stock markets' development, the local researchers were gradually maturity. In recent years, many scholars have researched lots of issues, including the efficiency of our stock markets and the reaction of the markets to the information etc. But up to now, few scholars have researched the relationships between returns and volumes systemically. Although the price-volume relation has already been used in the technique analysis extensively, the theoretical support was not strong enough for its appliance to our country. It is very important to research the relationship between volume and prices. First, the price-volume relation is beneficial to insight into how can financial market be established. Second, because the volumes can reflect public and private information, it is a good criterion to measure the information flows. So, this article will study on the price-volume relations systemically. Ⅰ.Research Structure and Methods The first part is a general introduction. Research on price-volume relation has a profound meaning. It can be seen from five aspects. First, it provides insight into the structure of financial markets. Second, the price-volume relation is important for event studies that use a combination of price and volume data from which to draw inferences. Third, the price-volume relation is critical to the debate over empirical distribution of speculative prices. Fourth, the price-volume relation is crucial to the technique analysis. At last, price-volume relation has significant implications for research into futures markets. In the first chapter, this paper reviews previous foreign research on the relation between price changes and trading volume in financial markets and take the mature conclusion as the objects of the following empirical tests. In the second chapter, this paper will carry on the basic statistics analysis about the rate of return and the volume series. We will carry on the analysis from several aspects such as the scope of selected sample, the statistic characteristic and stability of the volume series and the rate of return series etc., including the processing method to the rate of return and the volume series and the econometrical method, such as ADF examination etc. Seeing from the examination result, price changes and trading volume series of the Shanghai and Shenzhen stock markets are all series stability. Chapter 3 will apply the empirical method to analysis everyday closing price series and the trading volume series of the Shanghai and Shenzhen stock markets. On one hand describe the static relationship between absolute value of the price change and volume in Shanghai and Shenzhen stock markets; on the other hand study the static relationship between volume and the price change Per Se. This article believe that the static relationship between volume and price changes in western national stock markets can be well explained by sequential arrival of information model, mixture of distribution hypothesis, rational expectation asset pricing model and differences of opinion model, but the stock market of our country are different from the western national stock markets in many aspects, these models can't directly set use to our country to explain the static relationship between volume and price changes. We should explain this relationship from the concrete circumstance of our country. In chapter 4, we will focus on the dynamic relationship between volume and price change. The Granger Causality test will be used. In theempirical analysis, the result of Granger Causality test shows that price change is obviously helpful to prediction of volume, and in theoretical explanation, the information represented by volume is also held by equilibrium price. So the information contained in volume is...