RESEARCH ON THE RELATIONSHIP OF BANK INDUSTRY’S STOCK PRICE AND TRADING VOLUME WITH PANEL DATA MODEL

Weidong Li, Lizhai Jia

2011

Abstract

Panel data becomes the main data vector with the development of the information technology. The panel model has been applied to many fields such as economics, management and science. In the panel fixed effects regression model, explanatory variable is a constant but the interception changes according to the individuals. Relationship between trading volume and price of stock is not only a way to understand the structure of financial market, but also an effective way to study the arbitrage opportunities and effectiveness of market. In this paper, we take the stock of banking industry as an example, using the fixed effects regression model to analyse the relationship between quantity and price of the stock. It is concluded that the volume fluctuation of stock has significant influence on the price of the stock. As each additional unit of volume of banking stocks is increased, stock prices will increase by 0.003377 units. It shows that the stock market trading volume is the internal driving force of stock price. Trading volume directly reflects the relation of supply and demand in stock market, and to some extent, it determines the trend of the price changes. At last it is found the panel fixed effects model is an effective tool to analyze the relation between trading volume and price of stock.

References

  1. Yiling Chen, Fengming Song. The Empirical Study of Chinese Stock Market Price Changes and Trading Volume [J].Management Sciences. 2002 (06).
  2. Jiatao Bian, Suo Jiang. The Study of Shanghai Stock Diyrx - Based on the EG Two-step Method and the Impulse Response Function [J]. Trade. 2008 (8):93- 95.
  3. Yanhui Wang, Kaitao Wang. Stock Trading Volume, Return of the Correlation Analysis [J]. Systems Engineering. 2005 (1).
  4. Chenwei Wang, Chongfeng Wu. Study on Linear and Non-linear Causality Relationship between Chinese Stock Market Prices and Volume[J]. Management Sciences. 2002, 5(4):7-12.
  5. Bin Yang. The Empirical Research of the Relationships among Shanghai A share Trading Volume, Return Rate and the Mobility of Transition-based on Mixed Distribution Model[J]. Statistics and Decision. 2005(8).
  6. Shuangcheng Li, Hongxia Wang. The Empirical Study on Chinese Stock Market Diyrx [J]. Mathematics in Practice and Theory. 2008(12).
  7. Zhengming Qian, Penghui Guo .The Quantile Regression Analysis of Shanghai stock Diyrx [J]. Quantitative & Technical Economics Research, 2007(10).
  8. Feng He, Zongcheng Zhang. The Comparison between Chinese Futures Market and Stock Market Diyrx based on the Study of Quantile Regression[J]. Institute of Financial. 2009(3).
  9. Fuyu Feng. Analysis of the Diyrx of China Stock Market Analysis based on Quantile Regression [J]. Economics Business and Management. 2008(6).
  10. Aimei Zhai, Xuefeng Wang. Research of Plastic and Elastic about Diyrx [J]. Financial Theory and Practice. 2010(2).
Download


Paper Citation


in Harvard Style

Li W. and Jia L. (2011). RESEARCH ON THE RELATIONSHIP OF BANK INDUSTRY’S STOCK PRICE AND TRADING VOLUME WITH PANEL DATA MODEL . In Proceedings of the 13th International Conference on Enterprise Information Systems - Volume 4: PMSS, (ICEIS 2011) ISBN 978-989-8425-56-0, pages 595-599. DOI: 10.5220/0003595905950599


in Bibtex Style

@conference{pmss11,
author={Weidong Li and Lizhai Jia},
title={RESEARCH ON THE RELATIONSHIP OF BANK INDUSTRY’S STOCK PRICE AND TRADING VOLUME WITH PANEL DATA MODEL},
booktitle={Proceedings of the 13th International Conference on Enterprise Information Systems - Volume 4: PMSS, (ICEIS 2011)},
year={2011},
pages={595-599},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003595905950599},
isbn={978-989-8425-56-0},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 13th International Conference on Enterprise Information Systems - Volume 4: PMSS, (ICEIS 2011)
TI - RESEARCH ON THE RELATIONSHIP OF BANK INDUSTRY’S STOCK PRICE AND TRADING VOLUME WITH PANEL DATA MODEL
SN - 978-989-8425-56-0
AU - Li W.
AU - Jia L.
PY - 2011
SP - 595
EP - 599
DO - 10.5220/0003595905950599