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Empirical Research on the Relation between Trading Volume and Yield on the Stock Market in China

Author: LiuZuo
Tutor: LiJianYuan
School: Dongbei University of Finance
Course: Financial Engineering
Keywords: Volume Turnover Yield Band Theory
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 169
Quote: 0
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Abstract


What this paper mainly studies is the relation among volume, yield and Bond Theory of the market in China. Stock volume as a measure of trading volume of stock during a period of time, it is changed by macroscopically factors, industry and regional factors, investor’s factors and etc. Meanwhile, volume changes also reflect the changes of market, stocks and economic.Due to the reasons, Volume as one of the most important technical analysis indicators is widely used in the field of real investment management, to judge the market situation and future trends. Some investors who are both at home and abroad base on volume, and design a lot of technical analysis indicators and the principle of technical indexes on volume. The academics focus on the links between the volume and yield. Many domestic and foreign scholars spent a lot of energy to explain the links which may exist between the volume and yield by different hypothesis.According to different ideas, there are formed many theories relevant the relations between of volume and yields. This paper concerns these theory and technology if they suit for the current China A-share market.China’s stock market was founded in the early 1990s, and has achieved astonishing achievements. But it is still an emerging market, and also far from mature market development level. The theory which suits for the mature markets may not be fit for China’s stock market.At the same time, because the market is still in developing and perfecting process. Many previous effective technical analysis methods may be not effective any more. The changing market requires us to study some previous effective technical analysis method.This paper focuses on the relation between stock volume and price, and uses the two different ways to study the links.First, in order to investigate the relations, this paper adopts the Band Theory to find the rule. Through the work, this paper found the volume of three rise waves is more than the one of two adjust waves. And this is the same as classic technical analysis. The author also finds that the volume of rising waves can reduce gradually, which is different to classic technical analysis. While volume-reduce do not forecast shadow of share price.The second kind of method is grouping-combination technology. By constructing the grouping of different combinations, this article found that high quantity combination can beat the market and low quantity combination. This classic technical analysis theory is the same. This paper also found that the lowest-income stock are not the lowest-volume stock, moreover, the highest-income shares also are not the supreme volume of the stock. The theory and technology does not always suit for the current China A-share market.According to the results, the paper gives some investment advice in the end of this paper.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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