Empirical Analysis on Price-volume Relation in the Stock Market of Shanghai and Shenzhen

  • Shih Yung Wei
  • Xiu-Wen YeEmail author
  • Cheng-Yong Liu
  • Kuo-Chu Yang
  • Chih-Chun Hou
Conference paper
Part of the Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering book series (LNICST, volume 264)


In this paper, the Granger causality test is used to explore the price-volume relation of the Shenzhen Stock Exchange and the Shanghai Stock Exchange and the spillover effect during the consolidation and the bull market. The research results show that price occurs after trading volume regardless of the consolidation period or the period of entering bull market, and spillover effect is not significant during consolidation. After the stock exchanges entered the bull market the spillover effect is rather significant because the causality existed between the Shenzhen Stock Exchange and the Shanghai Stock Exchange due to stock index change.


Price-volume relation Spillover effect Causality 


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Copyright information

© ICST Institute for Computer Sciences, Social Informatics and Telecommunications Engineering 2019

Authors and Affiliations

  • Shih Yung Wei
    • 1
  • Xiu-Wen Ye
    • 2
    Email author
  • Cheng-Yong Liu
    • 3
  • Kuo-Chu Yang
    • 4
  • Chih-Chun Hou
    • 2
  1. 1.Business School of Yulin Normal UniversityYulinChina
  2. 2.Yulin Normal UniversityYulinChina
  3. 3.Beijing Institute of TechnologyZhuhaiP.R. China
  4. 4.Department of Life-and-Death StudiesNanhua UniversityTaiwanRepublic of China

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