| The main aim of the paper is to research the overtrading situation in Chinese stock market and to find the factors influencing the overtrading degree. The paper selects two indexes, trading volume and turnover rate, to measure overtrading degree. The paper selects the trading data of five industries (only contains A share) and Shanghai A-share index, studies the overtrading degree of the five industries and the whole A-share stock market, and investigates the correlation and causality between yield ratio and the overtrading degree, the influence of the market and policy factors to the five industries. Finally the paper draws the following conclusions:The overtrading degree is related to industrial factor, and the overtrading degree of different industry is different. To different industries, each industry's overtrading degree is affected by the overtrading data of its last ten weeks. Their positive correlation coefficient value is great. To sum up, the relationship between yield ratio and trading volume is positive correlation. When price rises, their relationship is positive correlation. When price declines, their relationship is very complicated, their correlation coefficient is probably greater than zero and it is also probably smaller than zero. To different industries, the causality between trading volume (or turnover rate) and yield ratio is different. To some industries, the change of trading volume affects the change of yield rate greatly. To others, the conclusion is opposite. Different industries are affected by same market factor differently. There is scale effect, without time effect of turnover rate in Chinese stock market. Different industries are affected by the same policy differently. |
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