Abstract: With the daily sample from June 20, 2005 to January 11, 2008, this study employs a co-integration test, vector error correction model and VEC Granger causality test to examine the long-run and short-run relationship between the number of new accounts, stock prices and turn volumes, and further discusses the characteristics of China stock market. The empirical results show new accounts investors begin trading in around ten transaction days; a co-integration relationship and long-run equilibrium exist between the three variables in China; there is a unidirectional long-run association from the number of new accounts to stock prices and turnovers, while a unidirectional short-run causality from stock prices and turnovers to the number of new accounts; summarily, A-share market remains typical of a funds-driven speculative market.

Key words: the number of new accounts, stock prices and turn volumes, funds-driven speculative market, vector error correction model, VEC Granger causality relationship