| As a special financial product,funds play an important role in financial market.They are the most important institutional investors,promoting the healthy development of security market and keeping the sustainability and steadiness of financial market.The global investment fund industry has now become one of the top three financial industries with the banking industry and the insurance industry.For any financial assets,price changes and trading volume are important data to study the financial market.This paper analyses the relationship between price and trading volume of four kinds of fund index from Chinese security market.The analysis is based on two conditional multivariate models,BEKK-GARCH and DCC-GARCH,in the volatility specification.We examine a preliminary estimate of the volatility spillover effect between price and volume in order to find the dynamic conditional correlation and volatility spillover effect of price and volume.Here are the conclusions:In general,the dynamic conditional correlation between price and volume of Chinese funds market is significant.But the volatility spillover effects are not.For Wind LOF fund index,the dynamic correlation coefficient is not significant,neither is the volatility spillover effect.For Shenzhen fund index and ETF index,there are significant dynamic correlations between trading volume and price,with a strong maintenance of volatility trend and relatively high sensitivity to new information flow.And for these two fund index,there exist volatility spillover effects from trading volume to price changes.The conditional quasi correlation coefficient of Shanghai fund index’s price and trading volume is significant at the level of 1%.But its dynamic conditional correlation between price and trading volume is weaker than Shenzhen fund index and ETF index.According to the BEKK model test results,the Shanghai fund index’s volatility spillover effect for trading volume and price changes is not significant. |
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