Analysis of Quantile Regression about the Relationship between Price and Volume of China Stock Markets
Ren Ya · 2011
The research on the dynamic relationship between the stock market return and volume has great significance for learning the transmission mechanism of stock market information,the microstructure and further standardize the market behavior.This paper based on the method of quantile regression analysis the China's Shanghai Index and Shenzhen Component Index transaction data from January 2001 to September 2010.The results showed that:it has the significant positive dynamic relationship and asymmetry between the return and volume.