Proceedings of 2016 2nd International Conference on Humanities and Social Science Research (ICHSSR 2016)

An Empirical Research on Dynamic Relationship Between Yield Rate and Trading Volume in China's Stock Markets

Authors
Tingting Qian, Yizhen Qiu
Corresponding Author
Tingting Qian
Available Online July 2016.
DOI
https://doi.org/10.2991/ichssr-16.2016.46How to use a DOI?
Keywords
Stock market, yield rate, trading volume, dynamic relationship
Abstract

Based on the econometric methods such as Vector Autoregressive model (VAR), Impulse Response Function (IRF) and Granger Causality Test, this paper investigates the dynamic relationships between yield rate and trading volume in Shenzhen and Shanghai stock markets. The study indicates that there is a strong mutual explanatory power between trading volume and yield rate. And the closer the historical trading day to current date is, the stronger the mutual explanatory power becomes. Furthermore, the Granger Causality Test shows that there is a bi-directional causality between yield rate and trading volume.

Copyright
© 2016, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of 2016 2nd International Conference on Humanities and Social Science Research (ICHSSR 2016)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
July 2016
ISBN
978-94-6252-235-0
ISSN
2352-5398
DOI
https://doi.org/10.2991/ichssr-16.2016.46How to use a DOI?
Copyright
© 2016, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Tingting Qian
AU  - Yizhen Qiu
PY  - 2016/07
DA  - 2016/07
TI  - An Empirical Research on Dynamic Relationship Between Yield Rate and Trading Volume in China's Stock Markets
BT  - Proceedings of 2016 2nd International Conference on Humanities and Social Science Research (ICHSSR 2016)
PB  - Atlantis Press
SP  - 218
EP  - 222
SN  - 2352-5398
UR  - https://doi.org/10.2991/ichssr-16.2016.46
DO  - https://doi.org/10.2991/ichssr-16.2016.46
ID  - Qian2016/07
ER  -