Title :
Notice of Retraction
Quantile Regression Analysis of Cross Sectional Price-Volume Relation in Chinese Stock Markets
Author :
Chen Jianbao ; Cheng Tingting ; Wang Dengling
Author_Institution :
Center for Macroeconomics Res., Xiamen Univ., Xiamen, China
Abstract :
Notice of Retraction
After careful and considered review of the content of this paper by a duly constituted expert committee, this paper has been found to be in violation of IEEE´s Publication Principles.
We hereby retract the content of this paper. Reasonable effort should be made to remove all past references to this paper.
The presenting author of this paper has the option to appeal this decision by contacting TPII@ieee.org.
Based on the daily closed prices and volumes of 1087 stocks in Shanghaiing 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.
Keywords :
regression analysis; stock markets; Chinese stock markets; Shanghai stock markets; Shenzhen stock markets; cross sectional price-volume relation; price-volume relation; quantile regression analysis; trading volume fluctuations; Economic forecasting; Fluctuations; Information analysis; Information technology; Macroeconomics; Performance analysis; Regression analysis; Statistical analysis; Stock markets; Technology planning; cross section; price-volume relation; quantile regression;
Conference_Titel :
Information Technology and Applications, 2009. IFITA '09. International Forum on
Conference_Location :
Chengdu
Print_ISBN :
978-0-7695-3600-2
DOI :
10.1109/IFITA.2009.315
