Th is paper emp irically test the linear and non linear Granger cau sality relat ion betw een p rice and vo lum e of Shanghai and Shenzhen stock m arket. It is show ed that there ex it s linear Granger cau sality f rom stock retu rn to t rading vo lum e and b i2direct ional non linear Granger cau sality betw een these t im e series. Bu t af ter f iltering w eekend and GARCH effect s, the non linear Granger cau sality re2 lat ion disappears.