| Trading Volume contains large of trading information of investors, It includes not only the expectations of investors and the different characteristics of trading behavioral, but also contains some information which the asset price can not explain. However, In the traditional pricing model, the role of trading volume to be ignored. Therefore, the research of volume in the role of the stock price has some theoretical and practical significance. This paper investigates the impact of trading volume on stock returns and the role of trading volume in asset pricing.The sample used in this paper are 45 listed companies of different business in Shanghai Stock Exchange, The sample ranges from January 2004 to December 2009 for the financial data of companies and the macroeconomic indicators. The model is multi-factor pricing model, using panel model analysis method to research. The empirical results show that the linear relationship of multi-factor pricing model of is statistically significant, and a positive and statistically significant of volume and stock returns is found in this paper, the volume play an important role in asset pricing, but the effect of other factors is not rather than volume.This paper used a simple arithmetic average and weighted average to calculate the average of coefficient, in order to reflect the influence on stock returns. It chooses a different form of the data model to estimate the data, by reducing the variables, change the time zone and take the different form of the data, research the influence of volume on stock returns. And this paper also estimates the mold which includes volume and not includes volume, and found that the model contains trading volume fitting better than the fitting not contain the volume, which further confirmed the role of trading volume on the stock returns and the role in the asset price. In general, the trading volume have a strong explanatory power on the stock returns, which is an important role in asset price not be neglected. |
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