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

Panpan Wang; Tsungwu Ho; Yishi Li

doi:10.3390/SU12083322

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

Panpan Wang, Tsungwu Ho, Yishi Li^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

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 language	English
Article number	3322
Journal	Sustainability (Switzerland)
Volume	12
Issue number	8
DOIs	https://doi.org/10.3390/SU12083322
Publication status	Published - 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
Environmental Science (miscellaneous)
Energy Engineering and Power Technology
Management, Monitoring, Policy and Law

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.3390/SU12083322

Cite this

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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.",

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AU - Li, Yishi

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AB - 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.

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KW - Price-volume dynamics

KW - Shanghai stock market

KW - Structural change

KW - Threshold var

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

Abstract

Keywords

ASJC Scopus subject areas

UN SDGs

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