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

Shih-Yung Wei, Li-Wei Lin, Surong Yan and Lu-jie Zhu
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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

International Journal of Economics and Financial Issues, 2019, vol. 9, issue 5, 94-103

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.

Keywords: price-volume relation; spillover effect; causality (search for similar items in EconPapers)
JEL-codes: C23 L25 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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