Empirical Study Of Chinese Stock Market Relationship Between Volume And Price Based On Linear And Nonlinear Methods

The performance of a normal functioning stock market can reflect the situation of macroeconomics to some extent. The developmental trend of national economy often can be reflected in the stock market. The most basic relationship in the stock market is volume price relationship. According to the traditional theories, the markets in which price coordinates with volume are relatively stable, and if the divergence between volume and price occurs, the market contains a certain amount of risks. Under the normal circumstances, and normally, quantity appears before the price. In recent years, China's capital markets have significant changes, especially after the impact of global economic crisis. Therefore, it is necessary for us to check out that classic conclusions whether are still suitable to the current conditions of China in considerations with the practices of securities market in China. Therefore, the thesis has a theoretical value and practical significance.This thesis is base on the dates of the Shanghai index and turnover since the second half of 2005 and updated data of China's capital market in this special stage, applying the modern econometric analysis technologies, such as VECM model, impulse response analysis and non-parameter GARCH model filtering method, the linear and nonlinear causality test and so on to testify the features of quantity and price in bull and bear markets of China's securities markets from two perspectives of linear and non-linear, which includes the basic relationship between quantity and price in Shanghai stock exchange, causality test on relationship between volume and price, mutual influence strength, feasibility of investors using volume and price analysis to conduct investment decisions. At last, we can find ihat "volume-price relationship" has big differences with the previous research results. Under different market conditions, relationship between price and volume features with asymmetry. It specifically embodies in following aspects:in the bull market, stock prices and trading volume exists the strong positive correlation, and stock price has a strong one-way stimulating effect on the stock trading volume under the sense of linear, while the volume of the stock price has not explanatory power toward stock price; but nonlinear causality test showed that volume of turnover has explanatory power toward stock price which testify the method of non-linear can capture more information than linear method. In the Bear market, there is no significant correlation between stock prices and trading volume and nor the causality. Finally, the extended conclusion can be drawn:the traditional investment philosophy of "quantity before price" is not suitable for the Chinese stock market recently, the Chinese stock market "herd behavior" is gradually disappearing, and current securities market is partially efficient in China.The innovations of this thesis mainly lie in two points:(1)conducting the research on relationship between volume and price under the different running trend of stock market, especially taking the features of dramatically periodic fluctuation of China's securities market into consideration to testify the running features of from different stages of stock periodic fluctuation;(2) taking the fact into account that the financial time series often show obvious nonlinear characteristics and testifying the characteristics of volume-price relationship under different market circumstances of bull and bear market of China's securities market from linear and non-linear perspectives. Through the comparative analysis on the causality test methods, the thesis introduces foreign latest analysis of nonlinear causality test method for the first time. Diks Panchenko (2006), and applies GARCH model by using nonparametric filtering methods to conduct research on the Chinese stock market price volume relationship.