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Component ACD Model and Its Application in Studying the Price-Related Feedback Effect in Investor Trading Behaviors in Chinese Stock Market
Huang, Zhiyuan1; Han, Ai2; Wang, Shouyang1,2
2018-06-01
Source PublicationJOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN1009-6124
Volume31Issue:3Pages:677-695
AbstractThis paper explores the investors' feedback to the price change by modelling the price-related dynamics of trading intensity. A component decomposition duration modeling approach, called the component autoregressive conditional duration (CACD) model, is proposed to capture the variation of trading intensity across time intervals between price change events. Based on the CACD model, an empirical analysis is carried out on the Chinese stock market that covers different market statuses. The empirical results suggest that the CACD model can capture the price-related dynamics of trading intensity, which supports the existence of the feedback effect and is robust across different market statuses. The authors also study how the investors react to the price change by examining the driven factors of the price-related dynamics of trading intensity. The authors find that the trading can be triggered by the fast rise in the price level and the high trading volume. Besides, investors are more sensitive to the price change direction in the sideways market than in the upward or downward markets.
KeywordComponent ACD model feedback effect investor behavior market status trading intensity
DOI10.1007/s11424-017-6111-y
Language英语
Funding ProjectNational Science Foundation of China[71201161] ; National Science Foundation of China[71671183]
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000429119000007
PublisherSPRINGER HEIDELBERG
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/30021
Collection系统科学研究所
Affiliation1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Huang, Zhiyuan,Han, Ai,Wang, Shouyang. Component ACD Model and Its Application in Studying the Price-Related Feedback Effect in Investor Trading Behaviors in Chinese Stock Market[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2018,31(3):677-695.
APA Huang, Zhiyuan,Han, Ai,&Wang, Shouyang.(2018).Component ACD Model and Its Application in Studying the Price-Related Feedback Effect in Investor Trading Behaviors in Chinese Stock Market.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,31(3),677-695.
MLA Huang, Zhiyuan,et al."Component ACD Model and Its Application in Studying the Price-Related Feedback Effect in Investor Trading Behaviors in Chinese Stock Market".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 31.3(2018):677-695.
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