<p>The connection between stock market prices and trading volume has long been a subject of extensive research interest among scholars. This study examines whether the effective utilization of exogenous information from market participants contributes to a better understanding of the volume-price relationship. Using a DCC-MIDAS model that incorporates multiple mixed-frequency exogenous variables, this study empirically analyzes the influence of various market participants on the volume-price relationship in the Chinese stock market by incorporating a DCC-MIDAS model with multiple mixed-frequency exogenous variables. The results indicate that a dynamic correlation between stock market returns and trading volume in China. The increase in volume-price correlation can be attributed to improvements in the performance and governance of listed companies, accurate information dissemination by intermediary organs, and economic policy uncertainty. Among these factors, the influence of intermediary institutions’ information dissemination is the most persistent. However, the impact of investor sentiment on the volume-price relationship is not significant, as short-term shocks caused by emotional information quickly decay and dissipate. Additionally, the heterogeneity analysis reveals that different market participants exhibit distinct bull and bear market periodic features and industry characteristics in their influence on the volume-price relationship. This study is significant for understanding how exogenous information influences the volume-price relationship in the stock market. Regulatory authorities can formulate appropriate measures to stabilize the volume-price correlation based on both the influence path and the declining speed.</p>