The Volume-Price Relationship in Chinese Stock Market Based on Day-of-the-week Effects

被引：0
|
作者：
Xu Daoxuan [1 ]
Yang Wenhu [1 ]
机构：
[1] Huangshi Inst Technol, Sch Econ & Management, Huangshi 435003, Peoples R China
来源：
PROCEEDINGS OF THE 5TH INTERNATIONAL CONFERENCE ON INNOVATION & MANAGEMENT, VOLS I AND II | 2008年
关键词：
Volatility; Trading volume; Day-of-the-week effects; Adjust GARCH model;
D O I：
暂无
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper examines day-of-the-week effects of volatility and volume on Chinese stock market by using the modified GARCH model and explores the relationship between the volatility and trading volume. The empirical results show that both volatility and volume have day-of-the-week effects on Chinese stock market. We find out if the lowest volatility presents on Tuesday, the range of volatility decreases slowly; if the lowest volume is observed on Monday, the trade volume increases and reaches the highest on Thursday but slight pullback on Friday Based on the comparison of change pattern between volatility and trading volume, we also find there is significantly negative relationship between the range of volatility and trading volume. At the end of paper we provide the explanations for the relationship.
引用
收藏
页码：820 / 826
页数：7
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