Empirical Analysis on Trading Volume’s Factors on Shanghai Stock Market
|School||Tianjin University of Finance and Economics|
|Keywords||Shanghai Stock Exchange Market Trading volume Fixed effects model|
The normal operation of the securities market is of great significance for the development of the national economy . Trading volume as the important information in the securities market , reflects the public and internal information , can be more in-depth understanding of the structure of the securities market by trading volume . Is very important to many scholars at home and abroad on the trading volume in-depth study , but domestic academia influence factors of China's securities market trading volume is not comprehensive , the problem for our understanding and knowledge of China's securities market has significance. Fully understand the influencing factors of the trading volume , on the one hand, there is help investors make the right portfolio decisions , increase revenue ; On the other hand , favor government regulation of listed companies . Articles on the basis of the modern portfolio of securities and other financial theory , according to domestic and international references , looking for the many factors that affect the transaction amount , and panel data to analyze the effect . Rolling model of Shanghai securities trading market 111 listed companies in 2000 ˉ 2009 Nian 10 years during the weeks of data to estimate the systematic risk and non-system risk , combined with excess rate of return , and transaction costs , share price and other variables , Panel Data Analysis method , the study found that : ( 1) the excess rate of return and trading volume of the stock is related ; ( 2 ) system risk and trading volume is negatively correlated system the higher the risk , the greater the pressure to buy securities investors , trading volume fell ; (3 ) positively related to transaction costs and trading volume , transaction costs will reduce the real rate of return , need to pay attention to negative correlation ; (4) stock price and trading volume ; (5) whether the breakthrough in the lowest and highest values ??of the pre- 48 weeks price on the trading volume affect the existence of non- symmetry and asymmetry exists a positive rate of return and a negative rate of return on the trading volume of the Shanghai securities market . Summary, the excess return rate , systemic risk , transaction costs , stock price , trading volume has a certain effect .