本文研究的问题是基于中国沪、深股市市场的股票交易量和收益率的相关关系。在研究中发现，若要使得研究结果更加科学有效、充分反应我国内地市场的情况，需要选取沪、深A股市场的非ST类股票日度数据来进行研究，并采用日成交量（万手）以及日成交数额（人民币，元）来作为交易量的衡量数值，进一步采取去势处理，建立面板数据固定效应回归方程，发现交易量可以显著解释收益率的变化。本文研究发现，较少有文献通过分行业来研究股市量价关系理论，故本文将以上股票按金融、房地产、综合、公用事业、工业和商业分为六大类，并发现除了金融行业的相关系数低于平均，房地产行业的相关系数约等于平均，其余四类行业的相关系数均是大于平均的。本文的研究价值在于采用了3353支股票2012年12月31日至2017年12月31日五年的日度数据研究了我国股市的量价关系，并分行业进行细化研究。

The topic is based on the relationship between the stock trading volume and the rate of return on the Shanghai and Shenzhen stock markets. To make research results more effective, and fully reflect the China mainland market, inthe paper, I carried out research to non ST stocks daily data from Shanghai and Shenzhen A stock markets, and the daily turnover (million in hand) and daily transaction amount (RMB yuan) as proxies for the volume of transactions and detrended it. The study uses panel data fixed effects regression equation, and finds that the change of trading volume can significantly explain the rate of return. This study finds that few literatures to study the stock market price volume relation theory through different industry classifications, so this paper divides the chosen stock into finance, real estate, comprehensive, public utilities, industrial and commercial these six categories, and finds that in addition to the financial sector is lower than the average correlation coefficient, the real estate industry is approximately equal to the average the correlation coefficient, the remaining four industries are higher than the average. The research value of this paper is to study the relationship between volume and price in China's stock market by using the daily date of 3353 stocks from December 31, 2012 to December 31, 2017 for five years to test the existing theory of abroad whether exists in Chinese market.

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