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Forecasting trading volume in the Chinese stock market based on the dynamic VWAP

  • Xunyu Ye , Rui Yan and Handong Li EMAIL logo
Published/Copyright: August 29, 2013

Abstract

We investigate the modeling and forecasting of the intra-daily volume time series in Chinese stock market with an application to dynamic Volume Weighted Average Price (VWAP) method. The empirical results show that: (1) This method performs better than the traditional static VWAP strategy; (2) By adjusting time scale (time window) and the composition of the stock portfolio according to the principal component analysis method, we can further improve the forecasting accuracy of the stock turnover series; (3) There is significant long memory characteristic in the special component of the turnover series when using the dynamic VWAP method, however, we find that it can not improve the prediction of turnover series by using ARFIMA model on these series. We also analyze the reasons and provide some explanations.


Corresponding author: Handong Li, School of Government, Beijing Normal University, Beijing, China, Tel.: +86-01058802732, e-mail:

  1. 1

    The SSE 50 Index contains the 50 largest stocks that exhibit good liquidity and are representative of the Shanghai securities market. The objective of the Index is to provide a complete picture of these high-quality, large enterprises, which are the most influential in the Shanghai securities market.

Appendix

Ticker of 50 stocks.

InitialsIndustryTickerTradable shareCorporation
PFYHBankingSH6000001,355,000,000Shanghai Pudong Development Bank Co.Ltd.
HXYHSH6000151,686,600,000Hua Xia Bank Co., Ltd.
MSYHSH60001612,099,182,515China Minsheng Banking Co., Ltd.
ZSYHSH6000367,373,435,255China Merchants Bank Co., Ltd
XYYHSH601166701,000,000Industrial Bank Co., Ltd.
JTYHSH60132825,297,713,477Bank Of Communications Co., Ltd.
GSYHSH60139895,121,891,962Industrial And Commercial Bank Of China Limited
ZGYHSH60198881,228,045,269Bank Of China Limited
HDGTSteelSH6000012,468,852,274Handan Iron & Steel Co., Ltd.
BGGFSH6000102,720,313,918Inner Mongolian Baotou Steel Union Co., Ltd.
WGGFSH6000053,135,200,000Wuhan Steel Processing Co., Ltd.
BGGFSH6000195,611,082,559Baoshan Iron & Steel Co., Ltd.
SNGFPowerSH6006421,394,654,360Shenergy Co., Ltd.
CJDLSH6009004,909,379,777China Yangtze Power Co., Ltd.
GDDLSH6007951,717,007,602Gd Power Development Co., Ltd.
HNGJSH6000115,825,365,945Huaneng Power International Co., Ltd.
SHJCTransportationSH600009997,128,475Shanghai International Airport Co., Ltd.
ZGGHSH6011115,694,683,364Air China Limited
BYJCSH600004496,960,000Guangzhou Baiyun International Airport Co., Ltd.
NFHKSH6000292,174,178,000China Southern Airlines Co., Ltd.
ZYHYSH600428359,519,556Cosco Shipping Co., Ltd.
SGJTSH6000187,992,405,444Shanghai Port Container Co. Ltd.
ZHFZSH6000261,747,500,000China Shipping Development Co., Ltd.
TJGSH600717868,140,653Tianjin Port Co., Ltd.
DQTLSH6010062,602,226,030Daqin Railway.Co Ltd.
ZGLTElectric InformationSH6000509,382,107,840China United Network Communications Limited
TFGFSH600100384,625,315Tongfang Co., Ltd.
FZKJSH600SH6011,726,486,674Founder Technology (Group) Corp.
ZGSHOilSH60002825,279,516,507China Petroleum & Chemical Corporation
HYGCSH600583475,554,233Offshore Oil Engineering Co., Ltd.
SSHSH600688720,000,000Sinopec Shanghai Petrochemical Co., Ltd.
ZGRSFinanceSH6016288,341,175,000China Life Insurance Company Limited
ZGPASH6013183,363,643,698Ping An Insurance (Group) Company Of China, Ltd.
ZXZQSH6000302,791,558,393Citic Securities Co., Ltd.
ZGLYNon-ferrous MetalsSH601SH6005,092,043,325Aluminum Corporation Of China Limited
JXTYSH6003621,670,002,786Jiangxi Copper Co., Ltd.
BLDCReal EstateSH600048525,942,071Poly Real Estate Group Co. Ltd.
YGEApparel & FootwearSH6001771,231,715,510Youngor (Group) Co., Ltd.
GYGSHighway BridgeSH600269619,122,692Jiangxi Ganyue Expressway Co., Ltd.
YTWHChemicalSH600309823,426,464Yantai Wanhua Polyurethanes Co., Ltd.
ZHZGMechanismSH6003201,360,210,600Shanghai Zhenhua Heavy Industry Co., Ltd.
ZJGKDevelopment ZonesSH600895582,485,588Shanghai Zhangjiang Hi-Tech Park Development Co., Ltd.
YZMYCoalSH6001882,318,338,200Yanzhou Coal Mining Co., Ltd.
AYGFSH600397133,116,030Anyuan Industrial Co., Ltd.
GZMTBrewerySH600519407,930,966Kweichow Moutai Co., Ltd.
SQJTAutomobileSH6001041,644,551,542Saic Motor Corporation Limited
TRTBiopharmingSH600085194,252,385Beijing Tongrentang Co., Ltd.
YLGFFoodSH600887606,460,978Inner Mongolia Yili Industrial (Group) Co., Ltd.
DFMZComprehensiveSH600832943,975,391Shanghai Oriental Pearl (Group) Co., Ltd.
GHYXMediumSH600037583,253,814Beijing Gehua Catv Network Co., Ltd.

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Published Online: 2013-8-29
Published in Print: 2014-4-1

©2014 by Walter de Gruyter Berlin/Boston

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