An Empirical Analysis of the stock Price-Volume Relationship——Comparative Analysis Among Bull Market、Bear Market and Concussive Market of Shanghai Stock Market
The relationship of price and volume is the basis of stock market and technical analysis.The relationship may be not the same under the three situations,so we make a comparison.The paper use the data of price index and volume of Shanghai stock market,use Cointegration analysis、Vector Error Correction Model and Impulse Response Function approach.The conclusions are:there exists a long term equilibrium between price and volume;the change of price index can explain change of volume,but it is not correct contrarily;some technical analysis founded on volume lose efficacy,just effective in "bull market".At the same time,we found Shanghai stock market is partial effective in short-term,but completely effective in long-term.