This paper uses the all A‐share data of China's stock exchange market from October 12, 2016 to August 31, 2020 to study the correlation between stock trading volume and return by constructing a continuous interval portfolio. The results show that there are both "inertia" and "reversal" trends in China's A‐share market return, and the scale characteristics divided by stock trading market value have a significant impact on this trend. The results are of significance to make the capital market cooperate with the economic development and transformation. We analysis the characteristics of the stock market in the stage of economic development and transformation, and give suggestions accordingly.