The price-volume relationship of the shanghai stock index: Structural change and the threshold effect of volatility

Panpan Wang, Tsungwu Ho, Yishi Li

Research output: Contribution to journalArticlepeer-review

Abstract

The price-volume relationship of stocks can be impacted substantially by structural changes and market volatility. In this paper, we analyze China's stock market behavior and subsequent price-volume equation, with emphasis on two periods of market volatility and structural changes during 2007-2008 and 2015-2016. To account for the impacts of unknown volatility and time breaks, we embed the price-volume relationship into a vector autoregression (VAR) framework with structural breaks and volatility thresholds. Our results indicate that significant time-breaking effects exist and that the high-low volatility effects are substantial. Finally, in its entirety, we identify only a linear causal relationship from price to volume.

Original languageEnglish
Article number3322
JournalSustainability (Switzerland)
Volume12
Issue number8
DOIs
Publication statusPublished - 2020 Apr 1

Keywords

  • Market uncertainty
  • Price-volume dynamics
  • Shanghai stock market
  • Structural change
  • Threshold var

ASJC Scopus subject areas

  • Geography, Planning and Development
  • Renewable Energy, Sustainability and the Environment
  • Management, Monitoring, Policy and Law

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