Manipulation, stock price volatility and trading volume in Chinese stock markets: An empirical evidence

This paper mainly investigates the manipulation characteristic of Chinese stock market from the view of price-volume relation. The data adopted here are twenty-seven individual stocks controlled by bankers in Shanghai and Shenzhen stock markets. We examine the static relationship between stock returns and trading volume by employing the Exponential Generalized Auto Regressive Conditional Heteroscedasticity model (EGARCH), and find that there exists a significant positive correlation between them. Furthermore, Granger causality testing is used to investigate the short-term interaction between them, and the testing results show that there is no definite causality between stock returns and trading volume of banker stocks, which is consistent with the significant manipulation characteristic of Chinese stock market.