Statistical Analysis of the Characteristics of Stock Returns in China´s Securities Market

This paper examines the relationships between stock returns and trading volume in China´s stock markets. According to data obtained in Shanghai and Shenzhen stock markets from March 1, 2007 to March 1, 2011, we find relatively weak predictability. Stocks experiencing extremely high volumes associate with low subsequent returns but small firms perform better than large firms. We also find that return rate and trading volume time series are stable, the stock return is the Granger cause of the stock volume, but the stock volume is not the Granger cause of the stock return. This means that in china´ stock markets it is the stock return rate that guide the stock volume, but not the trading volume. The relationship between stock returns and trading volume is unidirectional. Our results show that China´s securities market is not mature.