TY - JOUR
T1 - The price-volume relationship of the shanghai stock index
T2 - Structural change and the threshold effect of volatility
AU - Wang, Panpan
AU - Ho, Tsungwu
AU - Li, Yishi
N1 - Publisher Copyright:
© 2020 by the authors.
PY - 2020/4/1
Y1 - 2020/4/1
N2 - 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.
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.
KW - Market uncertainty
KW - Price-volume dynamics
KW - Shanghai stock market
KW - Structural change
KW - Threshold var
UR - http://www.scopus.com/inward/record.url?scp=85084758902&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85084758902&partnerID=8YFLogxK
U2 - 10.3390/SU12083322
DO - 10.3390/SU12083322
M3 - Article
AN - SCOPUS:85084758902
SN - 2071-1050
VL - 12
JO - Sustainability (Switzerland)
JF - Sustainability (Switzerland)
IS - 8
M1 - 3322
ER -
