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2019 | OriginalPaper | Chapter

Empirical Analysis on Price-volume Relation in the Stock Market of Shanghai and Shenzhen

Authors : Shih Yung Wei, Xiu-Wen Ye, Cheng-Yong Liu, Kuo-Chu Yang, Chih-Chun Hou

Published in: Wireless Internet

Publisher: Springer International Publishing

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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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Metadata
Title
Empirical Analysis on Price-volume Relation in the Stock Market of Shanghai and Shenzhen
Authors
Shih Yung Wei
Xiu-Wen Ye
Cheng-Yong Liu
Kuo-Chu Yang
Chih-Chun Hou
Copyright Year
2019
Book
Wireless Internet

Print ISBN: 978-3-030-06157-9

Electronic ISBN: 978-3-030-06158-6

Copyright Year: 2019

DOI
https://doi.org/10.1007/978-3-030-06158-6_27

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