| According to the literature review, with the increasingly development and perfection of Chinese stock market, financial scholars about the relationship between quantity and price in the stock market in our country have done a lot of theoretical and empirical studies, some scholars use the high frequency (low frequency) data on the relationship between quantity and price in China stock market to do the research, some scholars of our country comprehensive refers to the number of Shanghai and Shenzhen stock market price relations made a comprehensive study, and the scholars, based on the relationship of quantity and price of stock index futures in China or to distinguish between the stock market bull market and bear market under the condition of study on the relationship between the quantity price, and so on. And along with our country capital market more perfect management system, the classifying of listed companies according to certain standard stock index class more and more. Previous studies about the relationship between quantity and price of this part of or the empirical conclusions has been unable to reflect the new index market change, or can't get more detailed further research conclusion. Moreover, according to the studies in the literature, few scholars based on the study on the relationship between the quantity and price of stock market scale. For investors, stock market value of stock investment analysis and selection of one of the important reference standards. From the perspective of the listed companies of Shenzhen stock exchange, with the exception of company development scale, risk factors such as size, p/e ratio, market value is also one of identifying a company's investment value standard. From the point of scholars research achievements about the relationship between quantity and price, the study of relationship between quantity and price can enrich the capital market theory, has a lot of benefits:(1) relationship between quantity and price is good for rich capital market microstructure theory. Through an empirical test of the relationship between quantity and price, can the theory model of market information, the size of the market as well as the assumption of limited market mechanism is analyzed;(2) to study the effect of financial events to the relationship between quantity and price. If through some method has some kind of joint distribution, quantity and price can determine the relationship between quantity and price will be into the study helps to verify financial events affect stock movements. (3) to study price speculation empirical distribution. Under the condition of speculation, it is difficult to determine the financial asset pricing and yield fluctuation, but if you can determine empirical distribution function relationship between quantity and price, you will know speculative function under the condition of the stock movements.(4) study on the relationship between the quantity price is advantageous to the combination of the futures market and cash market research. Futures market relation between quantity and price is closely related to the stock market price volume, as a result, the futures market of the relationship between quantity and price studies help to stabilize the stock market.In fact, the study on the relationship between the quantity and price in the financial sector can be from many angles, for example, volume and price (close) relationship, the relationship between volume and price change, the relationship between volume and price absolute value. Can also be a study on the relationship between the volume and price dynamic changes of variables, for example, the relationship between trading volume and returns, trading volume and returns the absolute value of the relationship, the relationship between trading volume and yield fluctuation, the relationship between volume and price fluctuation variance. Relationship between quantity and price of this article refers to the correlation between trading volume and yield and its fluctuation and the degree of the impulse response, due to the volume based on the theory of relationship between quantity and price divided into predictable volume and unpredictable volume two parts, so in this paper, the relationship between quantity and price of it is the actual research yields and yield fluctuation with volume and predictable trading volume, unpredictable nature of the three different correlation and the impulse response amplitude of trading volume. This article refers to the actual volume refers to the logarithmic index trading volumes, and yield of this article refers to the daily closing quotation index ratio logarithmic joint yield, because the yields and the index closing price inseparable inner link, so this paper study on the relationship between the quantity price is can use return variable substitution index closing price variables to analyze the relationship between quantity and price based on market value scale index.In this paper, Shenzhen securities information co., LTD. Shenzhen exchange, this article selects the subordinate company release huge tide of the market value of scale index study on the relationship between the quantity and price on the market index, selecting time period is from February 2005 to February 29,2681,2016 volume data and closing index data. In order to pursue the stationarity of data, the initial data as most scholars take the logarithm processing method. Although market scale index is subordinate company of Shenzhen securities information co., LTD. Shenzhen bourse issued huge tide of one type of index, but the index is what makes our country capital market microstructure is more and more perfect, to meet the needs of many investors. Now, it turns out, there are also many institutional investors in tidal wave to track the market index, as one of the important reference standards of investment decisions.This article main research objective:quantity and price by reading relevant literature found that Chinese scholars from the perspective of different assumptions and, application of various measurement methods on the Shanghai stock exchange, Shenzhen stock exchange or A stock index relationship between quantity and price of stocks have done A lot of research, most of scholars agree that China's stock market is an effective and positive correlation between quantity and price, at the same time, think that China's stock market is in accordance with theory of mixture distribution hypothesis. This article also want to have the characteristics of stocks to choose strictly, regularly adjust the constituents of the market size of the index's volume and check whether there is a correlation between the logarithmic yields, investors pay more attention to under the index value investment is, the same time, whether the distribution of Chinese stock market "rush fat-tailed biased non-normal" conclusion is consistent, the presence of granger relationship between quantity and price, trading volume with different properties and yield and its fluctuation interaction contribution, at the same time, this paper focuses on yield and its volatility and trading volume pulse function influence each other. This conclusion also shows that Chinese stock market is in line with the mixed distribution hypothesis, investors preference has the characteristics of blindly following investment, at the same time in the market due to the new information market transactions in unpredictable volumes than other properties of yield and its fluctuation has a stronger effect, this article research conclusion helps to examine stock market in China from different angles relationship between quantity and price. In this paper, the text is divided into five parts:Chapter 1 is introduction, mainly introduced the relationship between quantity and price of the selected topic background and the research in our country's capital market share the meaning of the relationship between quantity and price. Because of the relationship between quantity and price more empirical studies, this chapter will be these documents are hierarchical, for foreign literature can be divided into four parts:the first part is the early study of relationship between quantity and price; The second part is the study of the relationship between quantity and price literature; The third part is the study of the dynamic relationship between quantity and price literature; The fourth part is the relationship between quantity and price empirical method; Of domestic literature research can be divided into four parts:the first part is China's Shanghai and Shenzhen positive correlation literature, quantity and price quantity and price in the second part is the empirical method and the results of the study, the third part is based on the theoretical hypothesis of our literature quantity and price; The fourth part is based on the yield and its fluctuation of Chinese literature quantity and price.Chapter 2 mainly introduces the theories about the relationship between quantity and price model, in this paper, the data source, data length in this paper, and the basic processing method of the initial data. Initial data, mainly involving three data in tidal wave, respectively, the index of the volume, the index closed price, yield. Simple part expounds the relationship between quantity and price theory, the article on the concept of decentralized model of four did a detailed description, which expounds the mixture distribution hypothesis.Chapter 3 mainly from the static theory and data section of combining static analysis process. The volume in the tidal wave of this chapter to the index, yield basic statistical analysis has been done for the two variables (mean, of skewness, kurtosis, J)-B statistics, Quantile Quantile chart, data normality test and ADF stationarity test, static analysis. Test results show that the volume and yields have biased stationarity of non-normal time series, this conclusion is in chapter 4 of the basic premise of granger causality test conditions.Chapter 4 is the main application of article introduction to the theory of a variety of econometric models, such as GRANGER causality test, quantile regression method, vector autoregressive model (VAR), introduction to the theory of impulse response function. And this chapter is the most important positive steps using the ARMA model with the eliminating residual error estimate of volume correlation as unpredictable volumes, then volume decomposition theory is applied to predictable trading process. Second application model of volume, yield, yield fluctuation, predictable unpredictable volumes and volumes of the decomposed dynamic empirical study. Due to the chapter 3 results show that the volume, yield, yield fluctuation time series is stable, so this chapter used the method of GRANGER causality test, quantile regression method, the binary VAR model and impulse response dynamic analysis of the relationship between quantity and price. Is related to these models and apply relationship, because the granger causality test results show that the yields of volume there is a one-way granger causality relationship, trading volume with yield fluctuation exists a two-way granger causality, but granger inspection only a predicted relationship between two variables, but I did not show that predicted relationship between variables, there is no linear negative relationship between the test variables, this relationship predict the strength of the inspection only with the aid of quantile regression method and impulse response function to complete. This chapter, the results show that the impulse response function and GRANGER causality test model, the joint inspection yield, yield fluctuation to explain the volume is more intense.Chapter 5 is a summary of this paper research conclusion, the research deficiency of the existence of and the prospect of the follow-up study of the article.Based on the relationship between quantity and price theory and rich in econometric model with the combination of research methods to study on the relationship between the quantity and price index for market scale, more meaningful conclusions are obtained. Tidal wave in this paper, the static and dynamic combination of analysis of the market data, the relationship between quantity and price studies have shown that predictable trading volumes and unpredictable volume there is a one-way granger causality relationship with yield, yield to trading volumes have prediction effect; Yield fluctuation and the actual volume and predictable volume and unpredictable volume there is a two-way granger causality relationship, have the function of the predictor variable change each other. Volume is studied through quantile regression model with yields a positive linear relationship, namely "quantity price rises, quantity price falls", but the relationship is weak. Article also binary VAR model is set up, in the information by comparing the AlC criterion shows the return of the ARMA (4) has a better effect, the model aims to find the turnover of predictable and unpredictable volumes lag order number. Model analyses the predictable volume, unpredictable volume, actual volume and yield and yield fluctuation of impulse response function, found that the yield and its effect on the wave hit from information, has obvious influence on trading volume variables, but the impact time is short, with the unsustainability of time. On the other hand, when the volume is affected by the impact, the yield and its effect on the fluctuation of pulse is small. And, in the impulse response analysis also found that the unpredictable volume response to yield and its fluctuation degree, to significantly greater than the predictable volume response to yield and its fluctuation. Short-term fluctuations appear this kind of phenomenon may be because most of the Chinese stock market investors are retail investors, there is no scientific investment philosophy, frequent in and out of the stock market, also did not like some institutional investors have priority information advantage, so speculation "follow suit". Tidal wave because this article is based on the value scale index quantity and price of the market to do research, but the conclusion remains the dominant volume yield in "buying the winners" speculative follow suit, the situation, in this more fully illustrated the index, investors still does not pay attention to long-term value investment but is expected to benefit from short-term earnings volatility. As a result, the index reference value for most common long-term investors may be smaller. Results indicate that our country become rely mainly on the market the funds to promote the development of the stock market, as opposed to western developed capital market pay more attention to the value of long-term investment, but the money to support the role of the stock market is weak and brief not sustainable. Quantity and price and, based on the granger causality test and impulse function were found in the unpredictable volumes than predictable trading volume and the actual volume of stock price and its effect on the yield fluctuation has better explain, explain our country stock market and investors are "information market" preference, investment behavior is affected by information particularly big, this influence finally reflected in the stock fluctuations. The objective requirement of our country stock market trading mechanism need to constantly improve, especially the Chinese government will gradually lose the burden, dominate the market "policy" to Chinese stock market information dissemination mechanism of transparency, openness, build value and apparatus of stock investment environment in our country, to make our country gradually realize the "decoupling" information, to realize our country stock market healthy and steady development.In this paper, there are three main contributions:data selection, choose the stocks for standard strictly, regularly adjust the stocks of the size of the market the huge tide of the market index; And it is concluded that the investors still favours short-term volatility, the index of reference value for value investors may be smaller; in empirical process, emphatically analyzes the actual volume, predictable and unpredictable volume pulse analysis of yield and its fluctuation, obtained the unpredictable trading on the stock market volatility has strong explanation, also dominate the market "policy" and that the our country exists in the "buying the winners" copycat speculation, investment trends, does not pay attention to the long-term value of the investment, so improve the information transmission mechanism in our country, use econometric VAR model and impulse response function, analyses the volume increment during the process of information transmission and the influence of yield and its fluctuation increment. |
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