Highs And Lows And Turnover

China is not a mature and effective securities market yet, especially by showing the characteristics of high earnings ,high turnover and fierce fluctuation of market and individual stocks .With the development of securities market, it occurs lots of the stock price ups and downs, the modern investment theory based on effective market hypothesis and rational hypothesis is constricted. Therefore, the outcomes which are only referred to statistics and econometrics and directly gotten from data technical analysis can avoid the effect of different explanations from all kinds of theories on conclusions.The study is generalized as follows: Fist, the paper gives the comments on the theoretical opinions and empirical research about price and volume, and explains why the traders are using N-day highs and lows and turnover technical indicators to perform securities trades. Then, it makes data description and statistic analysis on special prices and volume indicators. At last, our research builds abnormal turnover and abnormal return regression models, estimates according variables and dose salience test to analyze the effect capability of N-day highs and lows on stock price developing trend.At the end, the article draws the conclusions. First of all, when the stock price breaches both N-day highs and lows, turnover is a positive and increasing function of the time frame N, even news about dividends and analyst recommendations has little or no influence on trading volume. Second of all, abnormal returns suggest ignoring the trend when N-day highs are achieved, especially N is large, and being contrarian on the N-day lows. Finally, when traders facing large amount of information, N-day highs and lows appear to be salient investment signals for them to coordinate market mechanism and accelerate stock market prosperous.