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High-Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market
Wan, Die1; Yang, Xiaoguang2
2017-12-01
Source PublicationINTERNATIONAL REVIEW OF FINANCE
ISSN1369-412X
Volume17Issue:4Pages:493-523
AbstractThis 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.
DOI10.1111/irfi.12116
Language英语
Funding ProjectNational 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 AreaBusiness & Economics
WOS SubjectBusiness, Finance
WOS IDWOS:000417111500001
PublisherWILEY
Citation statistics
Cited Times:1[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/29191
Collection系统科学研究所
Affiliation1.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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