An Analysis Of Price-volume Relation In Chinese Stock Market

The relationship between the price volatility and volume of stock has attracted much attention in academic circles at home and abroad.It deserves to be researched because of its academic value.In fact,when people analyze the trend of stock market,they also follow the rule of volume-price analysis.This paper bases on the study of the relationship between the stock price and volume in the past.Besides,it uses the latest low-frequency and high-frequency data by December 30,2016.What's more,it uses GARCH-V model and FIVAR model which is a more novel approach to study the relationship and the factor of influence in China.For the purpose of testing the applicability of the mixed distribution hypothesis in Chinese stock market and learning about whether the unexpected volume will influence the price of Chinese stock market,this paper takes the low-frequency Shanghai composite index and the Shenzhen component index and volume sequences as the sample to establish new GARCH-V model to empirically test the explanatory power of trading volume to market price volatility in Chinese stock market.Although Chinese stock market is not too perfect,it has certain defects.For example,the policy influence still exists in the market and the phenomenon such as irrational investor behavior exists in the market.The study result shows that the explanatory power of trading volume to market price volatility in Chinese stock market is strong in some extent.In order to analyze the explanatory power of trading volume to market price volatility in FIVAR model and judge whether the market liquidity indicators can influence the power or not,this paper constructs three kinds of FIVAR models.The first model is a binary FIVAR model,whose variables are realized volatilities and trading volume of shanghai composite index.The second model is a ternary FIVAR model,whose variables add the interbank lending rate on the basis of the binary model.The third model is a ternary FIVAR model,too,but the variables are the volatility and the trading volume of shanghai composite index add the money supply.And they use the monthly data.The result of this study shows that the trading volume has certain predictive effect to the realized volatility in the first model.Besides,in the second model,the trading volume has certain effect on the volatility,but it has some lags in time.The influence of inter-bank market interest rate on volatility is slightly higher than volume.In the third model,the change of trading volume will lead to the volatility change,too.All in all,the money supply,trading volume and volatility of shanghai composite index are interactional.At home,less scholars use the FIVAR model to study the relationship between volume and price at present.The empirical results that this paper uses the FIVAR model to study Chinese stock market conform to the theory of mixture distribution hypothesis.And they conform to the reality that investors use the technical analysis method of combination of quantity and price.What's more,money supply is a better market liquidity index introduced into the FIVAR model,and it has certain effect to the relationship of Chinese stock market price and volume.