Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market

doi:10.1007/s11424-016-5033-4

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	Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market
	Wan Die 1; Wei Xianhua 2; Yang Xiaoguang3
	2017-04-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	30 期号:2 页码:434-463
摘要	Using 4128 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, this paper investigates the liquidity dynamics around price jumps in Chinese market. Some interesting empirical results are obtained and the corresponding explanations are given. The frequency of positive jumps is quite higher than that of negative jumps. The trading volumes and average trade sizes are all in a high level around positive jumps. The relatively low liquidities around negative jumps show that negative jumps may be generated and enlarged by poor liquidity provision. The price reversal after price jumps is significant, and price reversal lasts longer after positive jumps. Moreover, the size and direction of jumps are significantly correlated with the returns and trades in the post-jump trading time. These findings are believed to be associated with the high proportion of retail investors and their herding behavior for price trend chasing.
关键词	Event study method informed trading liquidity dynamics price jumps price reversal
DOI	10.1007/s11424-016-5033-4
语种	英语
资助项目	National Natural Science Foundation[71431008] ; National Natural Science Foundation[71532013] ; National Natural Science Foundation[71501170] ; Zhejiang Provincial National Science Foundation[LQ16G010001] ; Zhejiang Provincial Key Research Base for Humanities and Social Science Research (Applied Economics in Zhejiang Gongshang University)
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000397332200012
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/24986
专题	系统科学研究所
通讯作者	Wan Die
作者单位	1.Zhejiang Gongshang Univ, Sch Finance, Hangzhou 310018, Peoples R China 2.Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Wan Die,Wei Xianhua,Yang Xiaoguang. Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2017,30(2):434-463.
APA	Wan Die,Wei Xianhua,&Yang Xiaoguang.(2017).Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,30(2),434-463.
MLA	Wan Die,et al."Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 30.2(2017):434-463.