Dissertation
Dissertation > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market

Empirical Analysis on Trading Volume’s Factors on Shanghai Stock Market

Author LiuWeiWei
Tutor ChenMengGen
School Tianjin University of Finance and Economics
Course Quantitative Economics
Keywords Shanghai Stock Exchange Market Trading volume Fixed effects model
CLC F832.51
Type Master's thesis
Year 2010
Downloads 71
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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 .

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