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《Journal of Dalian University of Technology(Social Sciences)》 2007-03
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Empirical analysis of relationship between price and trading volume in Shanghai Securities Market

ZHANG Bo,YIN Zhong-minSchool of Management,Xi'an University of Technology,Xi'an 710054,China  
Being the study on inner link of the basic variables of securities exchange process,the relationship between price and trading volume research has practical significance to discover the market trading characteristics and operation regulations,and provides the theoretical guide to the market trading mechanism improvement.Based on MDH(Mixture Distribution Hypothesis),the authors carry out time division study on Shanghai Securities Market's relationship between price and trading volume using Granger cause effect inspection method and draw the conclusions that the market lies in the two-way price and trading volume Granger cause effect relationship,and that the market quality gains remarkable development due to trading mechanism reform.This paper also points out trading volume,especially information trading volume,which has increasing explanation ability to price variation.In the end,the authors provide concrete countermeasures on further trading mechanism reform.
【Fund】: 国家社会科学基金项目(04XJY041)
【CateGory Index】: F832.51;F224
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