KMS Of Academy of mathematics and systems sciences, CAS
| High-Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market | |
Wan, Die1; Yang, Xiaoguang2
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| 2017-12-01 | |
| Source Publication | INTERNATIONAL REVIEW OF FINANCE
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| ISSN | 1369-412X |
| Volume | 17Issue:4Pages:493-523 |
| Abstract | This paper managed to measure the positive feedback trading intensity and its asymmetry with high-frequency transaction data of China's individual stocks. The intraday positive feedback trading is found to be heterogeneous, and buying-winners effect is significantly stronger than selling-losers effect. In general, the high-frequency asymmetric positive feedback trading's impact on market quality is mixed: The intraday positive feedback trades contribute to a liquid and active-trading market but at the same time slow down the price discovery process and reduce the price efficiency. |
| DOI | 10.1111/irfi.12116 |
| Language | 英语 |
| Funding Project | National Natural Science Funds[71431008] ; National Natural Science Funds[71532013] ; National Natural Science Funds[71501170] ; Zhejiang Provincial National Science Funds[LQ16G010001] ; Zhejiang Provincial Key Research Base for Humanities and Social Science Research (Applied Economics in Zhejiang Gongshang University) |
| WOS Research Area | Business & Economics |
| WOS Subject | Business, Finance |
| WOS ID | WOS:000417111500001 |
| Publisher | WILEY |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/29191 |
| Collection | 系统科学研究所 |
| Affiliation | 1.Zhejiang Gongshang Univ, Sch Finance, Hangzhou, Zhejiang, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
| Recommended Citation GB/T 7714 | Wan, Die,Yang, Xiaoguang. High-Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market[J]. INTERNATIONAL REVIEW OF FINANCE,2017,17(4):493-523. |
| APA | Wan, Die,&Yang, Xiaoguang.(2017).High-Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market.INTERNATIONAL REVIEW OF FINANCE,17(4),493-523. |
| MLA | Wan, Die,et al."High-Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market".INTERNATIONAL REVIEW OF FINANCE 17.4(2017):493-523. |
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