Dissertation > Excellent graduate degree dissertation topics show

Empirical Analysis of the Relation between Price Change and Volume in Shenzhen Stock Marke

Author: ZhouXiaoYan
Tutor: HuangRongTan
School: Xiamen University
Course: Applied Mathematics
Keywords: Trading volume Yield Investor sentiment
CLC: F832.51
Type: Master's thesis
Year: 2008
Downloads: 232
Quote: 0
Read: Download Dissertation

Abstract


In the past ten years time, the development of China's stock market is a great contribution to the development of the national economy has become an important place of social resource allocation. With the continuous development of China's stock market, are also facing many new problems. Therefore, it is necessary with the current situation facing the development of China's capital market, for an analysis of the operation mechanism of the stock market in China, in order to better promote the healthy development of China's securities market. Two important indicators of the stock market run: stock price and trading volume, through the study of the relationship between volume and price can be inferred that the transfer of information and market evolution, reveal the impact of new information on the market and the market pricing of new information. Therefore, this paper uses the SSE Composite Index quantitative econometric model to study the relationship between the amount of China's stock market price. Although domestic and foreign price-volume relationship of the stock market a lot of empirical research, but mostly from a static point of view to explore the relationship between the two, the majority of scholars conducting empirical research, not taking into account the impact on investor sentiment important variable in the investment behavior of stock market investors, there are some limitations need to be analyzed from a dynamic perspective, in order to explore the relationship between them, and the necessary by introducing subjective psychological variables such as investor sentiment further analysis of the relationship between price and quantity dynamic performance. Concrete and empirical, first under the trading volume of the internal structure of the trading volume discounting time trend decomposition of the trading volume is expected and unexpected trading volume. And from the point of view of the volatility, the empirical analysis of the causality of the GC-MSV model and a more robust and effective MCMC estimation methods yield and trading volume. Finally, a combination of the impact of investor sentiment, the impulse response function and variance decomposition are further analyzed in the form of the dynamic performance of the causal relationship of price and volume. The empirical results show that: the Shenzhen stock market rate of return and its volatility Granger causality lead to castration trading volume, trading volume is expected, unexpected change of trading volume and its fluctuations. Stock market rate of return, return volatility, investor sentiment, these three variables have a different impact on stock trading volume. Stock returns and yield volatility trading volume through the trading volume is expected to work.

Related Dissertations

  1. Study on the Preparation of Biodiesel from Fried Oil with Supercritical Methanol,TE667
  2. Effects of CRZ-1 on Growth of Wheat under Salt Stress, Chlorophyllase and Yield,S512.1
  3. Astragalus and selenium on the Flammulina growth and applied research,S646.15
  4. Effects of Shading on the Yield Index and Main Biochemical Components of Tea in Hilly Tea Plantation,S571.1
  5. Application of Numerical Designing Cigarette Blending Formula on Computational Intelligence,TS44
  6. Effects of Water and Nitrogen Coupling on the Water and Nitrogen of Soil and Yield and Quality of Flue-cured Tobacco in Luzhou,S572
  7. Identification of Water-Logging Tolerance at Seedling Stage and the Difference of Photosynthetic Parameters between Tolerance and Susceptible Types in Brassica Napus L.,S565.4
  8. Effects of Temperature and Raising Seedling Pattern on the Growth and Development of Strawberry,S668.4
  9. The Effect of Fertilizer Application on Yield and Quality in Chrysanthemum Morifolium,S567.239
  10. Effect of Nitrogenapplication Patterns on Variation of Soil Nitrate-N and Grain Yield of Wheat and Maize,S512.11
  11. Study on the Dynamic Growth and Components Accumulation of Lavadula Angustifolia,S573.9
  12. Effects of Organic, SEQ, Special and Conventional Farming Systems on the Yield and Quality of Different Vegetables and Soil Properties,S63
  13. Effects of Nitrogen and Seeding Date on the Yield and Quality of Low Glutelin Rice,S511
  14. Studies on Regulating Effect of Nitrogen Rates on Starch Granule Distribution in Grain of Wheat,S512.1
  15. Effects of Pre-Anthesis Drought Hardening on Grain Yield and Quality Formation in Wheat under Post-Anthesis Drought and Its Physiological Mechanism,S512.1
  16. Study on the Recovery of Growth and Its Physiological Mechanisim of Cotton After Waterlogging During the Bud Stage and Flowering and Boll-Forming Stage,S562
  17. Study on Modeling Effects of Genotype and Sowing Date on Rice Prductivity,S511
  18. Effects of Seeding Stage on Source-Sink Relation in a Ratoon Rice Cropping System with Labor Reduced Cultivation in Northearstern Jiangxi Province,S511
  19. Difference in Development between Culm and Tiller Roots and Their Contribution to Grain Yield and Quality in Wheat (Triticum Aestivum L.),S512.1
  20. Technology Integration of High Production for Machine Planting Rice and Demonstration in Wujin, Jiangsu Province,S511
  21. Predicting Wheat Grain Yield and Quality Based on Population Indexes and Nitrogen Nutrient Status,S512.1

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
© 2012 www.DissertationTopic.Net  Mobile