An Empirical Research on Dynamic Relationship Between Yield Rate and Trading Volume in China's Stock Markets
- https://doi.org/10.2991/ichssr-16.2016.46How to use a DOI?
- Stock market, yield rate, trading volume, dynamic relationship
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.
- © 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 -