Author: Yigang WangPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Positive Feedback Trading and Asymmetric Volatility: Evidence from China
Author: Yigang WangPositive Feedback Trading and Asymmetric Volatility: Evidence from Scandinavian Markets
Author: Henri Robert CederThe Asymmetric Positive Feedback Trading in Individual Stocks
Author: Die WanPublisher:
ISBN:
Category :
Languages : en
Pages : 42
Book Description
Based on 4 years data of individual stocks in SZ300P index, the paper investigates the positive feedback trading behavior and its asymmetry. Regressions with heterogeneous belief terms show the presence of positive feedback trading in Chinese market. The traders who react to daily, weekly or monthly returns all exist in the market. The asymmetric pattern of positive feedback trading in individual stocks is quite different from that in developed markets and the findings in index data: The volume and order imbalance both rise more after price rises than those after price declines. An updated Sentana-Wadhwani model confirms the existence of this kind of asymmetric positive feedback trading. The asymmetric positive feedback trading tends to be more intensive in small-cap and high-liquid stocks, and this partially explains the contrast asymmetry between individual stocks and indexes.
Positive Feedback Trading and Asymmetric Volatility in Thailand and Japan
Author: Supplak KriangkraiwanichPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
An Empirical Research of Positive Feedback Trading and Asymmetric Volatility in G7 Countries
Author: Lingyun YangPositive Feedback Trading and Asymmetric Volatility: the Case of Six Inditrialized European Markets
Author: Konstantia PetridouPositive Feedback Trading and Asymmetric Volatility in Emerging Capital Markets
Author: Qian WuPositive Feedback Trading in Chinese Stock Markets
Author: Sutthisit JamdeePublisher:
ISBN:
Category :
Languages : en
Pages :
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.
The Intensity of High-Frequency Feedback Trading and Its Impact on Market Quality
Author: Die WanPublisher:
ISBN:
Category :
Languages : en
Pages : 40
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: Theolitsa Demetriou