Being the study on inner link of basis variables of securities exchange process, price and trading volume relationship research has practical significance to discovering market trading characteristic and operation regulation as well as provides theory guide to market trading mechanism improvement. Based on MDH, the authors carry out time division study on Shanghai securities market price and trading volume relationship using Granger cause inspection method and draw the conclusion that the market lies in two-way price and trading volume Granger cause relationship, and the market quality gains remarkable development due to trading mechanism reform. It also points out trading volume, especially information trading volume, has increasing explanation ability to price variation. In the end, the authors provide concrete suggestion on further trading mechanism reform.
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