Abstract: Using daily trading data of Shanghai and Shenzhen stock markets, we investigate the information transmission between price and volume through a multivariable GARCH model. The results show that there exists a significant volatility spillover effect from price to volume, while there is no obvious spillover effect from volume to price. The unidirectional volatility spillover effect proves that stock price responses to information more quickly than trading volume in the information transmission process, and the price volatility is leading to volume volatility. So from the point of fluctuation shock and information transmission, simply regarding trading volume as the proxy variable of the stock price volatility still lacks robust statistical evidence.

Keyword: Stock Price and Volume; Volatility Spillover Effect; Multivariable GARCH Model