| Price and trading volume are the most important and most direct two factors for describing the stock exchange and the stock market. Thus these two factors are particularly significant for the study of the stock market process and investment return. Compared with the stock market in developed countries, China’s stock market is much younger, even not mature,So as to ensure the market runs smoothly and healthily, we must strengthen the relationship between volume and price of China’s stock market, which can provide useful suggestions for the problem of China’s stock market.In this paper, we take China’s stock market as the research object and use quantile regression as the main research method. Firstly, we start our research with Shanghai Composite Index, Shenzhen Component Index and the SSE SME Component Index to observe the relationship between return rates and volumes, and relationship between volatility and volume as well. In this way, we can deeply analyze the relationship between price and trading volumes of China stock market. We also hope we can find out the scientific basis for the investors and find that China’s stock market problems, so we can make suggestions. We also research a representative of the six selected industry sectors, and observe the quantile regression relationships for its volume and price. It is helpful for investors to choose the right sectors and make informed decisions. We can also provide useful suggestions for our government for the building of our stock market.From the yields and the volume of quantile regression results, first of all, for the Shanghai composite index and the Shenzhen component index, after 30% quantiles, with the increase of trading volume, stock yields have appeared in the unceasing rise, namely the phenomenon of quantity price went up; Similarly, as the volume contraction, stock yields followed fell, the reduction of volume shrinkage price phenomenon. And at the left end and right end, namely we near the Shanghai and Shenzhen index relationship between quantity and price of the anomaly, trading volume and returns around here shows negative correlation relationship, namely with the increase of trading volume, stock yields fell instead. Second, the index for small and medium-sized plates at 30% fractile previously did not through the test of significance, also at the right end, namely the quantity and price of harden board near relations has not by significance test, and in 35%-90% on quantile interval, showed obvious relationship between quantity and price, and was consistent with the Shanghai and Shenzhen two markets. And in these significant intervals, the SSE SME Component index volume is bigger than the effect on the yield to Shanghai and Shenzhen two markets volume effect on yield. As a result, we can find it easily that in the tails of the SSE SME Component the relationship does not exist, and its volume range is larger, high yield, so speculation of artificial operation factors are greatly influenced by the policy. Finally, the typical plate wine food, real estate, steel, banking, foreign trade, non-ferrous metals, it is easy to find different plate yield and trading relationship between there exist certain differences. Bank weighting in the market, steel plate is bigger, the result was consistent with the Shanghai and Shenzhen two markets, wine food with volume changes, non-ferrous metal plates, yields more stable. And real estate, foreign trade sector affected by the economic situation, policy, and manipulation factors is bigger, with volume changes, gains after rising first to reduce. Therefore, investors in the stock trading, correct selection should be paid attention to industry groups. Risk aversion can mainly invest on stable stock, such as banks, wine food, which is small risky and yield stably. And risk appetite, can choose the small and medium-sized plate, the yield is high, but the risk is big also, rigged and policy.From the quantile regressions between stock market volatility and trading volume, firstly, the volatility of Shanghai Composite Index, Shenzhen Component Index and the SSE SME Component exist positive correlation with yield, namely with the increase of trading volume, volatility is larger, as volume to drop, volatility is also reduced. And, with the increase of trading volume, its influence on volatility is becoming bigger and bigger. And for the SSE SME, its volume is bigger than the effect on volatility to Shanghai and Shenzhen two markets. Second, different plate between the volatility and trading volume also is the same as the index of correlation, but in the right tail appeared different degree of abnormal. The volume is too small, the market fluctuates abnormally. Due to the volume reflects the investor’s perception of the new information and the liquidity of the market information, so that our country stock market information openness degree is insufficient, and investors access to information incomplete and lack of understanding. Third, the relationship between different plate volatility and trading volume roughly obey the positive correlation. But both real estate and foreign trade policies and economic situation and so on the many kinds of factors affect its volatility and trading volume relationship distortions of plates, not easy to predict, so when concerned with the investment in these two plates, investors need to be careful.In conclusion, the investors in the investment decision-making need to pay attention to the stock market and the regularities of the relationship between quantity and price in big volume fluctuate, pay attention to market information, reasonable choose plate, especially for small and medium-sized board market, prudent investment, avoid investment risk effectively. For the government, as a result of China’s stock market is greatly influenced by policy information, so the government should pay attention to standardize the market environment, strengthen supervision, to do information transparency, reduce the investment risk. |
PDF Full Text Request