| The stock market is known as the "barometer" of the macro economy,which is closely related to the development of the real economy.The trading volume and stock price are the results of the market game and the true reflection of the market on the changes of the current macro and micro economic environment.At present,volume-price relationship is not only the key research object of economists,but also an important basis for investors to make trading decisions.With the development of China’s socialist market economy,the research on volume-price relationship is of great significance for grasping the operation law of China’s securities market and strengthening investor education.In view of this,based on the mixed distribution hypothesis and the statistical analysis of the cyclical fluctuation characteristics of China’s stock market in recent 30 years,this paper innovatively divides the research objects into growth stocks and non-growth stocks according to the fluctuation characteristics,and makes an empirical study on the volume-price relationship and its main driving factors of different fluctuation types of stocks and different market fluctuation stages by establishing EGARCH-V model.On the one hand,according to the fluctuation characteristics of Shanghai Composite Index and Shenzhen Composite Index,this paper divides the fluctuation history of China’s stock market from December 1990 to October 2018 into four complete bull and bear cycles,makes a statistical analysis on the time and amplitude distribution of the overall rise and fall of the market and the fluctuation of turnover rate in each cycle,and selects 66 stocks with different fluctuation types as the sample stocks for analyzing the volume-price relationship.The results of statistical analysis show that:(1)for China’s stock market as a whole,the fluctuation range of stock price and its turnover rate in each cycle have obvious cyclical characteristics;(2)There are different types of stocks in China’s stock market,and they are defined as growth stocks and non-growth stocks according to their fluctuation types.The fluctuation range of the former is generally less than that of the latter,and the turnover rate distribution of the former is more uniform than that of the latter.On the other hand,based on the Mixed Distribution Hypothesis,by establishing EGARCH-V model,this paper empirically analyzes the volume-price relationship and its main driving factors of different volatility types of stocks and different market volatility stages.The results of empirical analysis show that:(1)whether it is growth stocks or non-growth stocks,the conditional variance of stock price has symmetry and asymmetry in the response to positive and negative shocks,that is,the stock price fluctuations caused by positive and negative shocks of the same degree may be the same or different,which mainly depends on the stock itself.(2)The arch effect of all sample stocks is very obvious,indicating that the stock price fluctuation has strong persistence and aggregation characteristics.(3)Both the expected turnover rate and the unexpected turnover rate have a certain explanatory effect on the stock price fluctuation,but the explanatory effect of the unexpected turnover rate on the stock price fluctuation is much greater than the unexpected turnover rate,and the explanatory power of the unexpected turnover rate on the stock return varies with the types of stock fluctuation and the stages of market fluctuation,It shows that the trading volume(turnover rate)of growth stocks explains its return more strongly than that of non-growth stocks;The explanation of trading volume(turnover rate)to yield in bull market is stronger than that in bear market,and the above differences may be related to the liquidity differences of different fluctuation types of stocks or different market fluctuation stages. |
