This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Untangling the nexus of stock price and trading volume: evidence from the Chinese stock market

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Shyh-Wei Chen () (Department of Finance, Da-Yeh University)
Abstract

This paper explores the linear and non-linear causal relationship between stock price and trading volume in China. The empirical results substantiate that there is a long-run level equilibrium relationship between the stock price and trading volume in China. The results from the linear causality tests indicate that there is unidirectional causality running from price to volume for the case of Shanghai B and Shenzhen B shares in the short-run, but there is a bidirectional causal relation between price and volume for the case of Shanghai A share and Shenzhen A share. In the results of the non-linear Granger causality, evidence shows that there is neutral price-volume relation for Shanghai B share. However, there is a bidirectional non-linear price-volume causal relation for the case of Shanghai A share and Shenzhen A share. For the case of Shenzhen B share, there is a unidirectional non-linear Granger causal relationship running from the stock price to the trading volume.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://economicsbulletin.vanderbilt.edu/2008/volume7/EB-08G10010A.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 7 (2008)
Issue (Month): 15 ()
Pages: 1-16
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ebl:ecbull:v:7:y:2008:i:15:p:1-16

Contact details of provider:
Postal: Economics Bulletin, Department of Economics, 414 Calhoun Hall, Vanderbilt University, Nashville TN 37235, USA
Phone: 615-322-2920
Fax: 615-343-8495
Email:
Web page: http://www.economicsbulletin.com

For technical questions regarding this item, or to correct its listing, contact: (John Conley).

Related research
Keywords: Granger causality; Non-linear; Price; Volume;

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January. [Downloadable!] (restricted)
  2. repec:bep:sndecm:9:2005:2:1234-1234 is not listed on IDEAS
  3. Grammatikos, Theoharry & Saunders, Anthony, 1986. "Futures Price Variability: A Test of Maturity and Volume Effects," Journal of Business, University of Chicago Press, vol. 59(2), pages 319-30, April. [Downloadable!] (restricted)
  4. Pesaran, M. H. & Smith, Ron P., 1998. "Structural Analysis of Cointegrating VARs," Cambridge Working Papers in Economics 9811, Faculty of Economics, University of Cambridge.
    Other versions:
  5. Abdulai, Awudu, 2002. "Using Threshold Cointegration to Estimate Asymmetric Price Transmission in the Swiss Pork Market," Applied Economics, Taylor and Francis Journals, vol. 34(6), pages 679-87, April. [Downloadable!] (restricted)
  6. Su, Dongwei & Fleisher, Belton M., 1999. "Why does return volatility differ in Chinese stock markets?," Pacific-Basin Finance Journal, Elsevier, vol. 7(5), pages 557-586, December. [Downloadable!] (restricted)
    Other versions:
  7. Lee, Bong-Soo & Rui, Oliver Meng & Wang, Steven Shuye, 2004. "Information transmission between the NASDAQ and Asian second board markets," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1637-1670, July. [Downloadable!] (restricted)
  8. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June. [Downloadable!] (restricted)
    Other versions:
  9. M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326. [Downloadable!]
  10. Lee, Bong-Soo & Rui, Oliver M., 2002. "The dynamic relationship between stock returns and trading volume: Domestic and cross-country evidence," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 51-78, January. [Downloadable!] (restricted)
  11. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-68, February. [Downloadable!] (restricted)
  12. Jennings, Robert H & Starks, Laura T & Fellingham, John C, 1981. "An Equilibrium Model of Asset Trading with Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 36(1), pages 143-61, March. [Downloadable!] (restricted)
  13. Su, Dongwei & Fleisher, Belton M., 1998. "Risk, Return and Regulation in Chinese Stock Markets," Journal of Economics and Business, Elsevier, vol. 50(3), pages 239-256, May. [Downloadable!] (restricted)
    Other versions:
  14. Wang, Ping & Liu, Aying & Wang, Peijie, 2004. "Return and risk interactions in Chinese stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 367-383, October. [Downloadable!] (restricted)
  15. Campbell, John Y & Grossman, Sanford J & Wang, Jiang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, MIT Press, vol. 108(4), pages 905-39, November. [Downloadable!] (restricted)
    Other versions:
  16. Smirlock, Michael & Starks, Laura, 1988. "An empirical analysis of the stock price-volume relationship," Journal of Banking & Finance, Elsevier, vol. 12(1), pages 31-41, March. [Downloadable!] (restricted)
  17. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-68, September. [Downloadable!] (restricted)
  18. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March. [Downloadable!]
  19. Diks, Cees & Panchenko, Valentyn, 2006. "A new statistic and practical guidelines for nonparametric Granger causality testing," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1647-1669. [Downloadable!] (restricted)
    Other versions:
  20. Chen, Gong-meng & Firth, Michael & Rui, Oliver M, 2001. "The Dynamic Relation between Stock Returns, Trading Volume, and Volatility," The Financial Review, Eastern Finance Association, vol. 36(3), pages 153-73, August.
  21. Kandel, Eugene & Pearson, Neil D, 1995. "Differential Interpretation of Public Signals and Trade in Speculative Markets," Journal of Political Economy, University of Chicago Press, vol. 103(4), pages 831-72, August. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? IDEAS was launched in September 1997.

This page was last updated on 2009-11-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.