This article investigates the time-varying price-volume relationship and the impact of short-sell shocks on the price-volume relationship by utilizing the TVP-VAＲ-GCK Model of Koop et al．( 2009) ． The most probable variables order in the VAＲ model and the impulsive function are selected by employing the VAＲ_BE model and varimin criteria． The results reveal that the price-volume relationship is significantly time-varying and different samples ( both indices and individual stocks) have distinct patterns． The results also suggest that the market structural change has a time-varying impact on the price-volume relationship． The results are consistent with the behavior finance theory on the price-volume relationship，which reflects the learning process of investors in response to the structure changes in the stock exchanges in China．