An Empirical Research On The Effect Of High Trading Volume On Stock Returns

In the capital market, the research on the effect of the volume of the financial assets on the asset price and yield in the market has been the focus of scholars and investors in domestic and international areas since 1960s.The research on the price-volume relation is mainly focused on the relationship between volatility of stock price and trading volume, and stock returns and trading volume. In the empirical research on the price-volume relation, the main theories are based on the study of the market information. Transaction volume reflects the speed of information reached market and extent of the impact of the information on market, which is a major reason that the volume effect the stock market price and return.The famous visibility hypothesis foreign indicates that transaction volume could affect e the stock market price for the event itself is a kind of effective market information,which could attract the attention of investors and scholars. In China, the research on the price-volume relation is mainly focused on two directions, one is to study the volatility of the stock market by the econometric model, the other is the technical analysis of the stock market. For the most of the technical analysis researchers in the domestic.the volume is an important factor affecting the trend of the stock price curve. Stock trading volume reflects the strength of both long and short.It also contains the change trend of information of the stock price. Trading volume is one of the most important indicators in the weak efficient market environment in China.But empirical research on the impact of high trading volume on the stock return is relatively few in the domestic and foreign. The existing research used to build investment portfolios or statistical analysis methods, to study the the effect on the price and return of stocks of high trading volume. This paper used the event study method and selected the data of Main board,Small and Medium-sized Enterprise Board and Growth Enterprise Board to study of the effect on the stock price and return of the period after high trading volume happened. There are two parts in this empirical research:First of all, illustrate the the effect on the stock price and return of high trading volume through the statistical data analysis; Second, established the multiple regression model to prove if the high trading volume could affect the stock return rate, and if the kind of board(company size) is a effect factor in this event.