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Author: Die Wan Publisher: 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.
Author: Die Wan Publisher: 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.
Author: Die Wan Publisher: 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: Cameron Peng Publisher: ISBN: Category : Languages : en Pages : 48
Book Description
We show that mutual funds contribute to cross-sectional momentum and excess volatility through positive feedback trading. Stocks held by positive feedback funds exhibit much stronger momentum, almost doubling the returns from a simple momentum strategy. This “enhanced” momentum is robust to alternative measures of positive feedback trading and cannot be explained by other stock characteristics, ex-post firm fundamentals, fund flows, or herding. Moreover, enhanced momentum is almost fully reversed after one quarter, suggesting initial overshooting and subsequent reversal. We argue the most likely explanation is the price pressure from positive feedback trading. Finally, we relate positive feedback trading to mutual fund performance and show that it can positively predict a fund's return from active management.
Author: Misra Anuranjan Publisher: European Alliance for Innovation ISBN: 1631904027 Category : Computers Languages : en Pages : 1138
Book Description
Proceedings of the 2nd International Conference on Big Data Economy and Digital Management (BDEDM 2023) supported by University Malaysia Sabah, Malaysia, held on 6th–8th January 2023 in Changsha, China (virtual conference). The immediate purpose of this Conference was to bring together experienced as well as young scientists who are interested in working actively on various aspects of Big Data Economy and Digital Management. The keynote speeches addressed major theoretical issues, current and forthcoming observational data as well as upcoming ideas in both theoretical and observational sectors. Keeping in mind the “academic exchange first” approach, the lectures were arranged in such a way that the young researchers had ample scope to interact with the stalwarts who are internationally leading experts in their respective fields of research. The major topics covered in the Conference are: Big Data in Enterprise Performance Management, Enterprise Management Modernization, Intelligent Management System, Performance Evaluation and Modeling Applications, Enterprise Technology Innovation, etc.
Author: Tao Shu Publisher: ISBN: Category : Languages : en Pages : 46
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: Die Wan
Author: Die Wan
Author: Die Wan
Author: Cameron Peng
Author: John R. Nofsinger
Author: Konstantia Petridou
Author: Yigang Wang
Author: Henri Robert Ceder
Author: Qian Wu
Author: Misra Anuranjan
Author: Tao Shu