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The Price-volume Relation Of Shanghai Stock Based On Daily Exchange Data

Posted on:2016-04-19Degree:MasterType:Thesis
Country:ChinaCandidate:Z M ZhangFull Text:PDF
GTID:2309330467980064Subject:Statistics
Abstract/Summary:PDF Full Text Request
The research on the price-volume relation is not only the need of its own theorydevelopment, but also the needs of the empirical research in the stock market as well asthe analysis of market microstructure and efficiency. For the price-volume relation inthe Shanghai stock market, few scholars tend to study these aspects: the rate of returnresponse by the impact of different types of trading volume and itself; the contributionof different types of trading volume and rate of return on return volatility; the relationbetween the return autocorrelation and the different types of trading volume; under thereturn influence on its own volatility, the relation between the return volatility and thedifferent types of trading volume.Based on the mixed distribution hypothesis (MDH), the paper has regardeddifferent types of trading volumes as important factors, and then research the aboveaspects. The paper has six parts. The first part is an introduction that mainly elaboratesthe development of the Shanghai stock market, the research significance and thoughtof the price-volume relation. The second part generalizes the empirical studies of theprice-volume relation at first, and then introduces the advances in the MDH.The thirdpart, the forth part and the fifth part are the process of the empirical price-volumerelation in the Shanghai stock market. Above all, these parts study the basiccharacteristics of return and the castration and decomposition of trading volume, thento analysis that return and the different types of trading volume has the dynamic impacton return based on VAR. Last, these parts research the relation between autocorrelationreturn as well as return volatility and trading volume(expected trading volume,unexpected trading volume). The sixth part is the summary and outlook.The paper mainly obtain nine conclusions. First, the return of the Shanghaicomposite Index is relatively stable, but not normal. Second, the daily trading volumehas a certain linear and nonlinear trend. the cubic castration model is better than thecastration of Chen (2001) model in the daily trading volume. Third, the castrationtrading volume and unexpected trading volume are Granger reason to the return;conversely, no established. Expected trading volume and return are mutual causality.Fourth, return strongly responses to its own shock, similarly to the shock of castratedand unexpected trading volume. Fifth, the y return volatility are mainly due to the itsown changes, less than3.73%from the trading volume. Sixth, the returnautocorrelation and expected trading volume have significantly negative correlation, but and the unexpected trading volume have significantly positive correlation.Seventh,the return can eliminate the leverage effect and reduce the ARCH effect. Eighth, underthe return impacted on its own volatility, the unexpected trading volume is able toexplain the asymmetry of return volatility and helps to reduce ARCH effects, while theexpected volume has no significant impact on return volatility.
Keywords/Search Tags:Shanghai stock market, the price-volume relation, MDH, VAR model, EARCH (1,1) model
PDF Full Text Request
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