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 | |
发表期刊 | INTERNATIONAL REVIEW OF FINANCE |
ISSN | 1369-412X |
卷号 | 17期号:4页码:493-523 |
摘要 | 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 |
语种 | 英语 |
资助项目 | 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研究方向 | Business & Economics |
WOS类目 | Business, Finance |
WOS记录号 | WOS:000417111500001 |
出版者 | WILEY |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/29191 |
专题 | 系统科学研究所 |
通讯作者 | Yang, Xiaoguang |
作者单位 | 1.Zhejiang Gongshang Univ, Sch Finance, Hangzhou, Zhejiang, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
推荐引用方式 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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