Nonparametric quantile regression analysis on the price-volume relationship in China stock market

摘要

This paper adopts nonparametric quantile regression approach to empirically analyze the relationship between daily return and trading volume and the relationship between absolute return and trading volume in China stock market. The results show that both the relationship between return per se and volume and that between absolute return and volume are nonlinear. Secondly, when the trading volume is larger than a certain value, the relationship between return per se and volume is positive at the high quantile of return and negative at the low quantile of return. However, both the positive and negative relations get stronger with larger trading volume. Thirdly, the relationship between return and volume is asymmetric. Finally, the relationship between absolute return and trading volume is positive and stronger when the quantile of absolute return increases.