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![]() | |
2017-12-01 | |
Source Publication | INTERNATIONAL REVIEW OF FINANCE
![]() |
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. |
Files in This Item: | There are no files associated with this item. |
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment