We develop a theoretical trading conditioning model subject to price volatility and return  in terms of market psychological behavior, based on a volume-price probability wave distribution in which we use transaction volume probability to describe price volatility uncertainty and intensity. Applying the model to high frequent data test in China stock market, we have main findings as follows: 1) there are , in general, significant positive correlations between the rate of mean return and that of change in both trading conditioning intensity and the amount of transaction ; 2) they lack significance in spite of positive correlations in two time intervals right before and just after bubble crashes; and 3) there exists , particularly, significant negative correlation between the rate of mean return and that of change in trading conditioning intensity when SEE Composite Index is rising during bull market. The model and findings can help to well explain disposition effect and excessive trading, to time bubble crash, and to understand other anomalies in stock market.
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use transaction volume probability to describe price volatility uncertainty and intensity. Applying the model to high frequent data test in China stock market, we have main findings as follows: 1) there is , in general, significant positive correlation between the rate of mean return and that of change in trading conditioning intensity ; 2) it lacks significance in spite of positive correlation in two time intervals right before and just after bubble crashes; and 3) it shows , particularly, significant negative correlation in a time interval when SSE Composite Index is rising during bull market. Our model and findings can test both disposition effect and herd behavior simultaneously, and explain excessive trading (volume) and other anomalies in stock market.
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information
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analytical transaction
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distribution
distributions
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correlations
correlation
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both
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and the amount of transaction
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they lack
it lacks
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correlations
correlation
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there exists
it shows
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between the rate of mean return and that of change in trading conditioning intensity when SEE
in a time interval when SSE
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The
Our
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help to well explain
test both
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excessive trading, to time bubble crash, and to understand
herd behavior simultaneously, and explain excessive trading (volume) and