Research Article
Empirical Analysis on Price-volume Relation in the Stock Market of Shanghai and Shenzhen
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@INPROCEEDINGS{10.1007/978-3-030-06158-6_27, author={Shih Wei and Xiu-Wen Ye and Cheng-Yong Liu and Kuo-Chu Yang and Chih-Chun Hou}, title={Empirical Analysis on Price-volume Relation in the Stock Market of Shanghai and Shenzhen}, proceedings={Wireless Internet. 11th EAI International Conference, WiCON 2018, Taipei, Taiwan, October 15-16, 2018, Proceedings}, proceedings_a={WICON}, year={2019}, month={1}, keywords={Price-volume relation Spillover effect Causality}, doi={10.1007/978-3-030-06158-6_27} }- Shih Wei
Xiu-Wen Ye
Cheng-Yong Liu
Kuo-Chu Yang
Chih-Chun Hou
Year: 2019
Empirical Analysis on Price-volume Relation in the Stock Market of Shanghai and Shenzhen
WICON
Springer
DOI: 10.1007/978-3-030-06158-6_27
Abstract
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.
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