High-Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market

doi:10.1111/irfi.12116

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	High-Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market
	Wan, Die 1; 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.