Study On The Relationship Between The Chinese Stock Market Volatility And Trading Volume And Returns

According to the traditional financial theory, such as the capital asset pricing theory, assuming that the stock market return series follow a normal distribution, and the same variance. However, with the further development of financial theory, the assumptions of normality and identically distributed has become increasingly skeptical. Empirical studies have shown that many scholars through the financial data used to represent the variance of the uncertainty and risk is not constant, but change over time, volatility, there are clusters of features and variability. Why there is heteroscedasticity for financial time series, one explanation is that mixed distribution hypothesis, the hypothesis suggests that stock daily return a positive correlation between volatility and market information, market information to quantify the information rate, the price volatility is driven by the information rate trading volume well represent the changes in market information.On GARCH Models by reviewing the literature review of research on income volatility, MDH. MDH model and the trading volume as a proxy variable into the theoretical basis for the variance equation, stresses the characteristics of stock market volatility.empirical trading volume to explain the extent and volume and price volatility. Finally, the empirical results, combined with the exposition of the actual situation of China’s stock market volatility, yield and volume between the dynamic relationship between conclusions...