Stock returns and trading volume in Chinese stock market

被引：0
|
作者：
Wang, XL [1 ]
Xiao, TJ [1 ]
Zhu, L [1 ]
机构：
[1] Nanjing Univ, Sch Management Sci & Engn, Nanjing 210093, Peoples R China
来源：
Proceedings of the 2005 International Conference on Management Science & Engineering (12th), Vols 1- 3 | 2005年
关键词：
EGARCH; Granger causality; stock returns; trading volume;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper mainly investigates the relation between stock returns and trading volume in Chinese stock market. The daily data of Shanghai Composite Index and Shenzhen Component Index are adopted. We use Autoregressive Distributed Lag (ADL) and Exponential Generalized AutoRegressive Conditional Heteroscedasticity model (EGARCH) to examine the static relation between stock returns and trading volume. The testing results show that there exists a significant positive correlation between them. In addition, we introduce Granger causality test to investigate their short-term interaction and find that there exists Granger causality in one direction from stock returns to trading volume.
引用
收藏
页码：1958 / 1963
页数：6
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