The Research On The Relationship Between Volume And Price Volatility Of Corporate Bond In China Stock Exchange

This paper explores the relationship between volume and price volatility based on corporate bond traded in C hina Shanghai and Shenzhen stock exchange from April 2002 to September 2016.Firstly the multiple linear regression model is used to analyze the contemporary relationship between bond volume and price volatility,and stratified regression is used to investigate the role of bond liquidity in determining the relationship between volume and price volatility,secondly discuss the causal relationship between bond volume and price volatility through the Granger causality test,and the lagged effect relationship between bond volume and price volatility is detected by vector autoregressive model,finally the impulse response function is used to investigate the dynamic effect result from price volatility caused by bond volume impulse.The results show that: there exist a negative relation between bond volume and price volatility significantly,unlike stock and future market in which volume is positively related to price volatility;the role of bond liquidity can influence the relationship between volume and price volatility obviously,the relation is weaker for higher liquidity bonds and the relation is much stronger for lower liquidity bonds;there is only a unidirectional linear causa lity from volume to price volatility,and the bidirectional linear causality between volume and price volatility is not funded;the contemporary price volatility can be explained by the lagged volume effectively,moreover the impact result from price volatility caused by volume impulse become shorter for higher liquidity bonds and the impact can last longer for low liquidity bonds.