| The research of security price and volume of business continues to be a hot topic in financial field for a long time.In past several years,the study of Trading Volume has gotten more and more attention,because volume may be one of the most essential factors to explain how transaction frequency changed.As we can say,the interaction of price and Trading Volume(relationship of volume and price)plays a key role to understand volatility of yield.However,how Price Volatility influenced by Size of trades and Number of trades still a problem which is worthy to discuss.Nowadays,we haven't gotten any agreement of Size of trades and Number of trades effect Price Volatility in Chinese and foreign stock market.Therefore,it is necessary to make more reasonable explanation of the Price Volume relationship of our national stock.This article starts to choose time during the September 2012 to March 2013.We get projects of the Shenzhen Stock's top 50 fingers of first 100 stocks,the high-frequency data from sub-database,then use Python programming technology to make processes into a time interval of every 30 minutes of high-frequency time-sharing data.Secondly,the Eviews6.0 software was used to analyze the trade scale of results carried out by the Evels-Perron test and the autocorrelation test,whatever transaction frequency and yield sequence of every 50 minutes of the first 50 fingers.Thirdly,four research models were constructed based on GARCH(1,1)model.In these four models,the fourth one was added two dummy variables to consider the rate of return within the "U-shaped" phenomenon.Finally,the dynamic causality between transaction size,transaction frequency and yield sequence was examined by Grange causality.By constructing four different GARCH models,this paper finds a more valuable research conclusion: the relationship between the trading volume and the volatility of the yield is a positive correlation.The trading volume has a good explanatory effect on the persistence of the volatility of the yield.This also validates the mixed distribution hypothesis model.Compared with the transaction volume,the transaction frequency is positively related to the volatility of the yield.The transaction frequency can better explain the persistence of the volatility of the yield.However,we find that the transaction size and the fluctuation of the yield are negative Correlation,which is different from the conclusion of using daytime data.Therefore,we can conclude that the transaction frequency can replace the trading volume as an important factor to explain the volatility of the yield rate.The transaction frequency is the real protagonist of the positive correlation between the volume and the price of the securities market in China.In this study,we find that there is a strong two-way strong Grange causality between the transaction frequency and the yield.There is a weak two-way Grange causality between the transaction size,the former figure is the Grange causality of the transaction size,and the latter one is not the Grange causality of the transaction frequency.In this paper,using high-frequency data to build four different GARCH model has a certain degree of innovation,the relationship between volume and price of securities market research has a certain theoretical significance.At the same time,the conclusion of this paper is beneficial to the market investors to form a comprehensive understanding of the securities market risk and the market microstructure,and then take corresponding preventive measures to the securities market risk,so as to establish an effective financial risk prevention and control system. |
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