We perform an empirical analysis of the volume-price relation in the Chinese stock market at microscopic level using high-frequency data. We find out that the price variation and trading volume are correlated and the volume-price curve is a nonlinear convex function. When the normalized volume exceeds 0.1, the price variation is positively correlated to the normalized volume. In contrast, when the normalized volume is less than 0.1, the price variation is negatively correlated to the normalized volume. For fixed volume, the price variation decreases with the increase in market capitalization. A universal curve is obtained based on scaling analysis with respect to the capitalization. We argue that the anomalous negative correlation between volume and price variation is due to market friction.
郭梁, 周炜星. 基于高频数据的中国股市量价关系研究[J]. J4, 2010, 7(8): 1242-.
GUO Liang, ZHOU Wei-Xing. An Empirical Analysis of the Volume-Price Relation Using High-Frequency Data in the Chinese Stock Market. J4, 2010, 7(8): 1242-.