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Empirical Analysis on Price-Volume Relation in the Stock Market of China

Author

Listed:
  • Shih-Yung Wei

    (Business School of Yulin Normal University, Yulin, China)

  • Li-Wei Lin

    (School of Information, Zhejiang University of Finance and Economics Dongfang College, Zhejiang, China)

  • Surong Yan

    (School of Information, Zhejiang University of Finance and Economics Dongfang College, Zhejiang, China)

  • Lu-jie Zhu

    (Business School of Yulin Normal University, Yulin, China)

Abstract

In this paper, the Granger causality test is used to explore the price-volume relation of the Shenzhen Stock Exchange and the Shanghai Stock Exchange and the spillover effect during the consolidation and the bull market. The research results show that price occurs after trading volume regardless of the consolidation period or the period of entering bull market and spillover effect is not significant during consolidation. After the stock exchanges entered the bull market the spillover effect is rather significant because the causality existed between the Shenzhen Stock Exchange and the Shanghai Stock Exchange due to stock index change.

Suggested Citation

  • Shih-Yung Wei & Li-Wei Lin & Surong Yan & Lu-jie Zhu, 2019. "Empirical Analysis on Price-Volume Relation in the Stock Market of China," International Journal of Economics and Financial Issues, Econjournals, vol. 9(5), pages 94-103.
    • Handle: RePEc:eco:journ1:2019-05-14
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    More about this item

    Keywords

    price-volume relation; spillover effect; causality;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • L25 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Firm Performance

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