Author: Martin T. Bohl
Publisher:
ISBN:
Category :
Languages : en
Pages : 18

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Author: Die Wan
Publisher:
ISBN:
Category :
Languages : en
Pages : 40

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Book Description
Based on Level-2 transaction data of individual stocks in Chinese market, the paper constructs measures to directly estimate positive feedback trading intensity and its asymmetry in high-frequency intervals, and then investigates the impact of feedback trading on market quality. Heterogeneous positive feedback traders are found in high-frequency trading intervals of individual stocks, and the buying-winners effect is generally more intensive than selling-losers effect. The asymmetric positive feedback traders contribute to high volatility, high return autocorrelations, high variance ratios and low speed of price discovery. The asymmetry is positively related to aggressive trading orders and hence large price impact, while positive feedback trading reduces both liquidity provision and trading cost. Collectively, the high-frequency asymmetric positive feedback trading leads to an active-trading but less efficient market.

Author: Peter G. Dunne
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 32

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Author: Enrique Sentana
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Author: Sutthisit Jamdee
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
This paper examines investors' trading behaviors in Chinese stock markets by studying five stock indices that cover Chinese common stocks in three stock exchanges -- Shanghai, Shenzhen, and Hong Kong. Our empirical results suggest that there exists a significant positive feedback trading effect in the Shanghai A-share, Shenzhen A- and B-share, and Hong Kong H-share markets. No significant positive feedback trading behavior was observed in the Hong Kong Red chip stock market. Consistent with prior literature, our empirical results suggest that the positive feedback trading effect in Chinese markets is asymmetrical between market upturns and downturns and that stock returns exhibit positive autocorrelation at a low volatility level and negative autocorrelation at a high volatility level. This finding is attributed to wealth-related variation in investors' risk aversion level and to market segmentation in Chinese stock markets. In addition, we examine the impact of deregulation of the B-share market on trading behaviors and find that the asymmetric return autocorrelation pattern of the market has changed since the deregulation. This finding should be of interest to portfolio managers and policy makers.

Author: Tao Shu
Publisher:
ISBN:
Category :
Languages : en
Pages : 46

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Book Description
This paper investigates the impact of positive-feedback trading by institutions on stock return momentum and market efficiency. Using an ex-ante measure of positive-feedback trading by institutions, I find that return momentum is stronger in stocks that attract more positive-feedback trading by institutions, suggesting that positive-feedback trading by institutions intensifies stock return momentum. This effect is not only statistically and economically significant, but also robust after controlling for the other factors that influence return momentum. Further empirical findings suggest that positive-feedback trading by institutions destabilizes stock prices and hampers market efficiency.

Author: Erdinç Altay
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
This paper examines the possible causes of the autocorrelation problem, which arises in both mature and emerging stock markets and tests the feedback trading hypothesis in the framework of behavioral finance by implementing GARCH and asymmetric GARCH models in Istanbul Stock Exchange (ISE). The evidence got from the autocorrelation problem in ISE supports the existence of positive feedback trading when ISE-All and ISE-30 indexes are analysed. ISE returns provide negative autocorrelation when the volatility is high. On the other hand asymmetric GARCH results also suppport the idea of stronger positive feedback effect in down markets relative to up markets. Another result from the TARCH (1,1) model also supports the asymmetric behaviour of investors. According to the estimation results, bad news have stronger affect on conditional volatility and therefore feedback trading. The models, which consider investor behavior, can have stronger evidence in explaining the phenomenons in the pricing problem and the results presented by the paper can be considered as an evidence of the importance of the behavioral aspects of investing strategies therefore the asset pricing issue.

Author: Itzhak Ben-David
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
We show that demand effects generated by institutional frictions can influence systematic return predictability patterns in stocks and mutual funds. Identification relies on a reform to the Morningstar rating system, which we show caused a structural break in style-level positive feedback trading by mutual funds. As a result, momentum-related factors in stocks, as well as performance persistence and the "dumb money effect" in mutual funds, experienced sharp decline. Consistent with the proposed channel, return predictability declined right after the reform, was limited to the U.S. market, and was concentrated in factors and mutual funds most exposed to the mechanism.

Author: Benjamin H. Cohen
Publisher:
ISBN:
Category : Bond market
Languages : en
Pages : 52

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Book Description

Author: Jonathan Batten
Publisher: Emerald Group Publishing
ISBN: 0857247530
Category : Business & Economics
Languages : en
Pages : 745

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Book Description
The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.