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 | |
| 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
