RESEARCH ON THE RELATIONSHIP OF BANK INDUSTRYS STOCK PRICE AND TRADING VOLUME WITH PANEL DATA MODEL
Panel data becomes the main data vector with the development of the information technology. The panel model has been applied to many fields such as economics, management and science. In the panel fixed effects regression model, explanatory variable is a constant but the interception changes according to the individuals. Relationship between trading volume and price of stock is not only a way to understand the structure of financial market, but also an effective way to study the arbitrage opportunities and effectiveness of market. In this paper, we take the stock of banking industry as an example, using the fixed effects regression model to analyse the relationship between quantity and price of the stock. It is concluded that the volume fluctuation of stock has significant influence on the price of the stock. As each additional unit of volume of banking stocks is increased, stock prices will increase by 0.003377 units. It shows that the stock market trading volume is the internal driving force of stock price. Trading volume directly reflects the relation of supply and demand in stock market, and to some extent, it determines the trend of the price changes. At last it is found the panel fixed effects model is an effective tool to analyze the relation between trading volume and price of stock.
Panel data Fixed effects regression model Stock Price Volume
Weidong Li Lizhai Jia
Weidong Li and Lizhai Jia School of Economics and Management, Beiijing Jiaotong University, Beijing, School of Economics and Management, Beiijing Jiaotong University, Beijing, China
国际会议
13th International Conference on Enterprise Information System(第13届企业信息系统国际会议 ICEIS 2011)
北京
英文
1171-1175
2011-06-08（万方平台首次上网日期，不代表论文的发表时间）