The Relationship Between Return Rates And Trading Volume Of Shanghai And HongKong Stock Market Based On Quantile Regression

The price and trading volume can reflect the stock market directly, the relationship between them are helpful for us to understand more about the stocks and the stock market.At the same time, it is an important way to understand the financial market structure and market efficiency. The Chinese stock market produced in a special national condition and developed in a relatively short history. To understand it comprehensively, we can’t be away from the research about the relationship between the price and trading volume. Recently, in order to further promote opening about the China capital market to the outside world, the country are actively creating conditions, such as launch Shanghai-Hong Kong Stock Connect program. Under this background, it has the important practical significance to study on the relationship between return and trading volume of Shanghai and Hong Kong markets for the opening of Shanghai-Hong Kong Stock Connect program.The article focuses on the following issues:the related theory about the relationship between the price and trading volume, introduction of quantile regression and empirical analysis of the relationship between price and volume. On these issues, research methods and ideas are as follows:based on the Shanghai-Hong Kong Stock Connect program, this paper studies the relationship between return and the trading volume of The Shanghai Stock Exchange and Hong Kong Stock Exchange. It use Quantile Regression as the main method and combine the situation of A-share market and H-share market to find more information about the relationship of return and the trading volume.Results show that:In view of the heteroscedasticity of the data, quantile regression is more robust and effective than the ordinary least squares regression; On the whole, there is a positive correlation between the trading volume and return of A-share market and H-share market; Through the comparison of quantile regression coefficient of return and trading volume about SSE SH Equities Index and SSE HK Equities Index, we can find that the regression coefficient through HK Equities has large fluctuations. This means that the risk of H-share market is greater than A-share market.