Chapter
Nov 18, 2014
Research on the Relationship between Returns and Volume of the Shanghai Composite Index
Authors: Shengping Feng [email protected], Lixin Li [email protected], and Weizhong Ma [email protected]Author Affiliations
Publication: ICCREM 2014: Smart Construction and Management in the Context of New Technology
Abstract
Over the years, research on the relationship between stock returns and trading volume has been the focus of concern in the financial sector. As a theoretical basis for stock technical analysis, it can provide the necessary theoretical support for the stock market speculators and investors in practice, but also forecast for the economics clues for market researchers. This paper selects the Shanghai Composite Index daily closing price and trading volume from January 5, 2009 to April 26, 2013 as the study sample. We construct a VAR model for an empirical analysis of the relationship between the returns and volume. Through granger causality testing, impulse response and variance decomposition analysis, the results show that the relationship between returns and volume of the Shanghai Composite Index is asymmetrical. Stock price volatility can be used to predict changes in volume.
Get full access to this article
View all available purchase options and get full access to this chapter.
Information & Authors
Information
Published In
Copyright
© 2014 American Society of Civil Engineers.
History
Published online: Nov 18, 2014
Permissions
Request permissions for this article.
Authors
Affiliations
Ph.D. Candidate, Department of Management Science and Engineering, Harbin Institute of Technology, Harbin, China, 150001. E-mail: [email protected]
Ph.D. Candidate, Department of Management Science and Engineering, Harbin Institute of Technology, Harbin, China, 150001. E-mail: [email protected]
Professor, Department of Management Science and Engineering, Harbin Institute of Technology, Harbin, China, 150001. E-mail: [email protected]
Metrics & Citations
Metrics
Citations
Download citation
If you have the appropriate software installed, you can download article citation data to the citation manager of your choice. Simply select your manager software from the list below and click Download.
View Options
Get Access
Access content
Please select your options to get access
Log in/Register
Log in via your institution (Shibboleth)
ASCE Members:
Please log in to see member pricing
Purchase
Save for later Item saved, go to cart Information on ASCE Library Cards
ASCE Library Cards let you download journal articles, proceedings papers, and available book chapters across the entire ASCE Library platform. ASCE Library Cards remain active for 24 months or until all downloads are used. Note: This content will be debited as one download at time of checkout.
Terms of Use: ASCE Library Cards are for individual, personal use only. Reselling, republishing, or forwarding the materials to libraries or reading rooms is prohibited.
Terms of Use: ASCE Library Cards are for individual, personal use only. Reselling, republishing, or forwarding the materials to libraries or reading rooms is prohibited.
Get Access
Access content
Please select your options to get access
Log in/Register
Log in via your institution (Shibboleth)
ASCE Members:
Please log in to see member pricing
Purchase
Save for later Item saved, go to cart Information on ASCE Library Cards
ASCE Library Cards let you download journal articles, proceedings papers, and available book chapters across the entire ASCE Library platform. ASCE Library Cards remain active for 24 months or until all downloads are used. Note: This content will be debited as one download at time of checkout.
Terms of Use: ASCE Library Cards are for individual, personal use only. Reselling, republishing, or forwarding the materials to libraries or reading rooms is prohibited.
Terms of Use: ASCE Library Cards are for individual, personal use only. Reselling, republishing, or forwarding the materials to libraries or reading rooms is prohibited.