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Trade volume and Return-volatility relationship on the Shenzhen stock market： an empirical analysis

机译：深圳股市交易量和返回波动关系：实证分析

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摘要

This article examines the relationship between the trade volume and return-volatility of Shenzhen component index after the implementation of limit up or down. We got two conclusions. First,there only exists Granger Causality from return to trade volume,which verified that the commonly believed “trade volume makes price move” is wrong. Second,the mixture of distribution hypothesis (MDH) is held on Shenzhen stock market. Different from the relative researches abroad,MDH is not held if the trade volumes are use as substitution variable of information that reached the market. However,both two parts have significant influence to the volatility of return when we divide the trade volume into expected and non-expected ones,which reduced the volatility persistence,and demonstrated that MDH is held on Shenzhen stock market.
机译：本文介绍了在实施限额或下降后深圳成分指数的交易量和返回波动之间的关系。我们得出了两个结论。首先，只有返回贸易量的Granger因果关系，这证明了常见的“贸易量使得价格举措”是错误的。其次，分布假设（MDH）的混合物在深圳股市举行。不同于国外的相关研究，如果交易量被用作到达市场的信息的替代变量，则不会举行MDH。然而，当我们将贸易量分成预期和非预期的人的贸易量时，这两个部分都对返回的波动有显着影响，这减少了波动持续力，并证明了MDH在深圳股市举行。

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