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The Price-Volume Relationship of the Shanghai Stock Index: Structural Change and the Threshold Effect of Volatility

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  • Panpan Wang

    (School of Finance, Zhejiang Gongshang University, Hangzhou 310018, China)

  • Tsungwu Ho

    (College of Management, National Taiwan Normal University, Taipei 106, Taiwan)

  • Yishi Li

    (School of Economics and Management, Tongji University, Shanghai 200092, China)

Abstract

The price–volume relationship of stocks can be impacted substantially by structural changes and market volatility. In this paper, we analyze China’s stock market behavior and subsequent price–volume equation, with emphasis on two periods of market volatility and structural changes during 2007–2008 and 2015–2016. To account for the impacts of unknown volatility and time breaks, we embed the price–volume relationship into a vector autoregression (VAR) framework with structural breaks and volatility thresholds. Our results indicate that significant time-breaking effects exist and that the high-low volatility effects are substantial. Finally, in its entirety, we identify only a linear causal relationship from price to volume.

Suggested Citation

  • Panpan Wang & Tsungwu Ho & Yishi Li, 2020. "The Price-Volume Relationship of the Shanghai Stock Index: Structural Change and the Threshold Effect of Volatility," Sustainability, MDPI, vol. 12(8), pages 1-17, April.
    • Handle: RePEc:gam:jsusta:v:12:y:2020:i:8:p:3322-:d:347707
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    References listed on IDEAS

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