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

Panpan Wang, Tsungwu Ho, Yishi Li*

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

1 引文 斯高帕斯(Scopus)

摘要

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.

原文英語
文章編號3322
期刊Sustainability (Switzerland)
12
發行號8
DOIs
出版狀態已發佈 - 2020 四月 1

ASJC Scopus subject areas

  • 地理、規劃與發展
  • 可再生能源、永續發展與環境
  • 環境科學(雜項)
  • 能源工程與電力技術
  • 管理、監督、政策法律

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