An Exploring Research Of Volume-Price Relation Based On Abnormal Volume Aspect

China's stock market has developed a lot during the past 17 years. It plays a big part in our reform-and-opening-up process as well as socialism modernization. Following its expansion, there has been an increasing amount of research on both theoretic and practical aspect of this field.Price and trade volume are two most fundamental and critical parts for the all-round understanding of stock market. This fact has made many analytical works based on price or volume, or further, price-volume relation become the focus of finance-related researches.However, the existing achievements made by practitioners or experts from home and abroad are far from perfect. For example, abnormal trade volume and its relation with other market variables have been seldom analyzed systematically. Enlightened by this, this paper decides to take"abnormal trade volume"as a new angle of view and perform an exploring research on this particular market phenomenon and its influence on price (or return) as the seemingly most concerns of market participants.To actualize our objective in this paper, an analytical frame is first proposed. Then, an exploring statistical analysis is carried out in the light of this frame. An apparent relation between"abnormal trade volume"and the following price is observed finally. In this paper we refer to this phenomenon as"abnormal volume--return"effect.Then, after a series of empirical analysis, it shows that short-term autocorrelation in stock returns, firm-specific announcement effect, systematic risks, as well as trade volume measurements are all not likely to explain"abnormal volume--return"effect.Finally, the concept of"stock visibility"is put forward, and it explains this effect properly in part.By the several steps above, this paper finishes an exploring research of volume-price relation based on abnormal volume aspect.