Theoretical research on volume-price relationship in the financial field has been one of the hot topics. Trading volume as one of the most accessible and disposable information resource in the stock market, not only directly reflects the supply and demand of the stock market, but also provides valuable information to predict changes in the prices of stocks. The volume-price relationship is the important cornerstone for technical analysis theory of stocks as well as one of the major means to judge trends of the market or individual stock for the vast number of investors in the investment practice. This paper studies the impact relationship between price and volume with the purpose to inspire the monitors and investors.This Paper which takes Shanghai and Shenzhen stock market as an research object and takes the empirical analysis as the main method, combines with normative analysis and investigates the characteristics of the price-volume relationship in the Chinese stock market comprehensively in an angle of the internal structure of volume, the correlation between volume and price changes and the dynamic relationship between volume and market volatility. The purpose of the study is to proceed with the empirical study on relationship between volume-price and volatility in Chinese stock market comprehensively and systematically by the latest data. According to empirical results, we can evaluate the development of Chinese stock market and propose appropriate policy recommendations. This paper is divided into five parts:The first chapter is the introduction part, the main topics of this paper background, significance, content and research methods are briefly introduced. The second chapter is review study. In order to lay a sound theoretical foundation for the later analysis, this chapter mainly does a simple exposition and review of the theory basis of the volume-price relationship and domestic and foreign research status. The third chapter is a research of causal relationship between volume and price which have globally analyzed the static and dynamic correlation between stock price volatility and trading volume series. To begin with, this part analyzed the rates of return and the mean volume, standard deviation, skewness, kurtosis and other basic statistical properties; Then on the basis of which the volume is decomposed into expected and unexpected trading volume, analyzed the autocorrelation and stationarity of stock price volatility and various types of trading volume in depth; Finally, this chapter discussed the Granger causality relationship between types of volume and price volatility based on the research above; Chapter IV is a research of volume-price volatility which based on ARCH model. Based on the previous text, this chapter use TARCH and EGARCH model to make a more detailed study to condition volatility between volume and stock price in Shanghai and Shenzhen stock market and do a detailed explanation to the results; Chapter Five is the conclusion and policy recommendations. This chapter has made a summary to important conclusion which derived from the passage and made a number of feasible policy recommendations to how Chinese stock market can develop healthily at the present time.Through the comprehensive and systematic analysis to the relationship of the price and volume in Chinese stock market, we find that there is a kind of dynamic interdependence between the trading volume and price. Chinese stock market's earning rate has a very significant volatility clustering and persistence; Dependencies caused by volume the main part of which is the information trading volume, i.e. unexpected trading volume. The study indicates trading volume truly contains useful information which is related to price changes and provide a theoretical basis for technical analysis; In Chinese stock market, the existence of Leverage Effects is very significant, that's to say bad news to the effect of the stock market volatility larger than that of good news significantly.This innovations of this study lie in:Newer data selection can better reflect the current price and volume of Chinese stock market; On the basis of trading volume decomposed into the expect volume and the unexpected volume, I can analyze with various types of volume added to the EGARCH and TARCH model as exogenous variables, Not only to compare various types of volume fluctuations in the size of price volatility, but also can compare TARCH and EGARCH model's advantages and disadvantages of fitting effect to the same time series data; The relationship between volume and price in Chinese stock market have been investigated from two different perspectives, that is firstly to use methods of the Granger test the causal relationship between volume and price from a qualitative point. Then analyze the effect of the trading volume on the yield and price fluctuations from deeper perspective through ARCH model.There exist inadequacies in this study:As Chinese stock market is not mature, structural changes in relatively fast and national policies impact on the stock market is relatively large, these factors make the study to the stock market on the characteristics of our country not only affected by the statistical methods used, but also on the selected samples. To use EGARCH and TARCH models often require more a lot of high-frequency data, but there is only a collection of 1261 samples of data as a study object, so the selection of sample size may affect the accuracy of results; The impact of financial asset prices are many factors at multiple levels, coupled with the outbreak of the U.S. subprime mortgage crisis on Chinese economic development and the impact on the securities market. This makes factors which affect the volatility of stock market more complex. At the same time, because of particular international and domestic environment, a series of policies such as interest rate adjustments are rolled out. It is bound to increase the impact on the stock market. However, this article only from aspect of the volume to study stock market volatility, there must be certain one-sidedness. |