An Exploratory Study On The Relationship Between The Volume And Price In China's Securities Market

The study of the relationship between volume and price has always been a hot topic in the financial field.Volume is very important to predict the movements of asset price,mainly because it can not only reflect the supply and demand in the market,but also can predict the trend of prices.The relationship between volume and price is an important method to analyze the trend of asset price,which has great influence on the investment behavior in the market.The significance of the research is great.The analytical framework of this paper is from macroscopic to microscopic,and statistical analysis is carried out by means of R statistical software.From a macro perspective,we study the relationship between index yield and volume in the past ten years through the Shanghai Composite Index.The results show that:? The distribution of the log yield presets a clear "cluster" and" pike apex and thick tail" phenomenon;?When the research period is week,month and year,there is a positive correlation between the log yield and the turnover-rate of the Shanghai Composite Index,the correlation is moderate and the correlation coefficient is gradually increase;?The yield has an significant effect on the volume,and the yield is the Granger-reason for volume.From a micro perspective,we selected 26 stocks including 30 samples,focusing on the relationship between the trading volume,including in the period of recovery and in the rising period,and price changes.The results show that the volume in the period of recovery changes weakly and the value distribution is concentrated,while the stock price is slightly fluctuated within a certain range.In the rising period,the average change rate of turnover is distributed around 11%,the median is 9.74%;The average change rate of stock price is 2.32%and the median is 1.97%.At the same time,in the period of recovery and in the rising period,the ratio of the average volume is distributed around 3.88,the median was 3.59.In addition,the average trading volume for the first five trading days is about three times that of the recovery period,with a median distribution around 2.8.In the last 4 days,their distribution are in the interval[3.66,7.05],the median distribution in the interval[3.08,5.69].Finally,two trading volume-related strategies were constructed and traced back.The results showed that the indicators were bright,especially the OBV energy tide strategy which gains significantly exceeded the benchmark income.This shows that the volume can explain the changes in stock prices partly.