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ARTÍCULO
TITULO

Empirical Analysis on Price-Volume Relation in the Stock Market of China

Shih-Yung Wei    
Li-Wei Lin    
Surong Yan    
Lu-jie Zhu    

Resumen

In this paper, the Granger causality test is used to explore the price-volume relation of the Shenzhen Stock Exchange and the Shanghai Stock Exchange and the spillover effect during the consolidation and the bull market. The research results show that price occurs after trading volume regardless of the consolidation period or the period of entering bull market and spillover effect is not significant during consolidation. After the stock exchanges entered the bull market the spillover effect is rather significant because the causality existed between the Shenzhen Stock Exchange and the Shanghai Stock Exchange due to stock index change.Keywords: price-volume relation, spillover effect, causalityJEL Classifications: C23, L25DOI: https://doi.org/10.32479/ijefi.8198

PÁGINAS
pp. 94 - 103
MATERIAS
ECONOMÍA

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