Empirical Analysis Of The Relationship Between Price And Trading Volume In A-share Market

The theoretical study of Stock market’s volume-price relationship in a foreign country has gone through many years, now it is one of the hot topics in the micro-finance field. Traditional price-volume relations theory tend to study the following four aspects:analysis of price changes and trading volume relations; absolute price change and trading volume relationship analysis; the causal relationship of stock price changes and trading volume; the reserch of market volatility and trading volume relationship. On the basis above, the paper takes China’s Shanghai and Shenzhen stock A-share market as the research object, and introduces the market index returns and company size as control variables for empirical analysis. Whether trading volume (including the current and lag) and the opening price contains valuable information that can predict the trend of changes in the closing price.The paper is divided into five chapters. Introduction of the necessity of Karpoff’s study for volume and price relations, the first chapter details of the traditional price-volume relations theory; the high volume of trade theory (trading volume and rate of return serial correlation relationship); the theory of the opening price and the closing price.The second chapter details the standards of formulation of opening and closing price and their role on the Shanghai and Shenzhen Stock Exchange rules.The third chapter describes the data screening methods and the model building process.The sample dates from January1,2001to December2010,31, containning427stock selected for empirical analysis.The total sample was divided into three sub-samples, and then panel regression analysed. Immediately afterward, examines the impact of different market environment on the conclusions of this article, namely, the above sub-samples were analyzed from the perspective of a bull market, bear market again. Finally, with the consider of the three sub-samples and the introduction of the dummy variables, makes a dummy variable regression models for comparative analysis.The fourth chapter is the empirical analysis section. First, describe the statistical analysis of sample data, then compares the statistical results obtained with the mature stock markets in Europe and America,to examine the behavioral characteristics of China’s stock market investors.Then,makes ridge regression analysis of all models built above to analyze their statistical results,combined with the actual situation of China’s stock market.The fifth chapter is the conclusion and recommendations section. In this paper, institute of the conclusions, organize summary concludes with policy recommendations.The empirical results found that, first, compared to mature markets abroad,China’s stock market speculative atmosphere is relatively strong.Second, the daily trading volume of the stock have influence on stock returns, in general, the same period daily trading volume have a significant positive correlation with the rate of return, while the lag trading volume has shownsignificant negative correlation with rate of return. And with the increase of market capitalization, the explanatory power of trading volume over the same period of the yield gradually increased, while the lag trading volume has been diametrically opposite conclusion. The empirical analysis in bull and bear markets, is also generally come to similar conclusions.Third, whether the market is in bull or bear market environment, the impact of the stock current opening rate of return on closing yield is far more than the history of the closing rate of return. The historical closing rate of return have a significant positive correlation with current closing rate of return,which indicates without considering the impact of trading volume and control variables (market index rate of return, firm size), yields tend to perpetuate the original changing trend.Regardless of the state of the market in all sub-samples, opening yields has significantly positive correlation with the closing rate of return. And with the introduction of the opening amount,the model as a whole have been greatly improved.