The Influence of Trading Volume, Market Trend, and Monetary Policy on Characteristics of the Chinese Stock Exchange

The paper adopts the financial physics approach to investigate influence of trading volume, market trend, as well as monetary policy on characteristics of the Chinese Stock Exchange. Utilizing 1-minute high-frequency trading data at various time intervals, the study examines the probability distribution density, autocorrelation and multi-fractal of the Shanghai Composite Index. Our study finds that the scale of trading volume, stock market trends, and monetary policy cycles all exert significant influences on micro characteristics of Shanghai Composite Index. More specifically, under the conditions of large trading volumes, loose monetary policies, and downward stock trends, the market possess better fitting on Levy's distribution, the volatility self-correlation is stronger, and multifractal trait is more salient. We hope our study could provide better guidance for investment decisions, and form the basis for policy formulation aiming for a healthy growth of the financial market.