RETRACTED: Quantile Regression Analysis of Cross Sectional Price-Volume Relation in Chinese Stock Markets (Retracted Article)

被引：0

作者：

Chen Jianbao ^{[1
]}

Cheng Tingting ^{[2
]}

Wang Dengling ^{[2
]}

机构：

[1] Xiamen Univ, Ctr Macroecon Res, Xiamen 361005, Peoples R China

[2] Xiamen Univ, Sch Econ, Dept Planning & Stat, Xiamen 361005, Peoples R China

来源：

2009 INTERNATIONAL FORUM ON INFORMATION TECHNOLOGY AND APPLICATIONS, VOL 3, PROCEEDINGS | 2009年

关键词：

cross section; price-volume relation; quantile regression;

D O I：

10.1109/IFITA.2009.315

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Based on the daily closed prices and volumes of 1087 stocks in Shanghai and Shenzhen stock markets from April 28th, 2005 to April 28th, 2008, this paper uses quantile regression method to study price-volume relation in Chinese stock markets. The empirical results show that price-volume relation in Chinese stock markets is significant: there exists a positive increasing relation between trading volumes and returns, and a positive hook relation between trading volume fluctuations and returns under all quantiles of stock returns.

引用

页码：119 / +

页数：2