Trade volume and Return-volatility relationship on the Shenzhen stock market： an empirical analysis

摘要：

This article examines the relationship between the trade volume and return-volatility of Shenzhen component index after the implementation of limit up or down. We got two conclusions. First,there only exists Granger Causality from return to trade volume,which verified that the commonly believed “trade volume makes price move is wrong. Second,the mixture of distribution hypothesis (MDH) is held on Shenzhen stock market. Different from the relative researches abroad,MDH is not held if the trade volumes are use as substitution variable of information that reached the market. However,both two parts have significant influence to the volatility of return when we divide the trade volume into expected and non-expected ones,which reduced the volatility persistence,and demonstrated that MDH is held on Shenzhen stock market.

关键词： Return Trade volume Granger Causality Mixture of distribution hypothesis Volatility persistence

作者: 戴晓凤 张清海

作者单位: 湖南大学金融学院，410079

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）