《Sustainability》，2020年第4期
摘要：The price–volume relationship of stocks can be impacted substantially by structural changes and market volatility. In this paper, we analyze China’s stock market behavior and subsequent price–volume equation, with emphasis on two periods of market volatility and structural changes during 2007–2008 and 2015–2016. To account for the impacts of unknown volatility and time breaks, we embed the price–volume relationship into a vector autoregression (VAR) framework with structural breaks and volatility thresholds. Our results indicate that significant time-breaking effects exist and that the high-low volatility effects are substantial. Finally, in its entirety, we identify only a linear causal relationship from price to volume.
