Component ACD Model and Its Application in Studying the Price-Related Feedback Effect in Investor Trading Behaviors in Chinese Stock Market

doi:10.1007/s11424-017-6111-y

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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, Zhiyuan 1; Han, Ai2 ; Wang, Shouyang1,2
	2018-06-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	31 期号:3 页码:677-695
摘要	This 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.
关键词	Component ACD model feedback effect investor behavior market status trading intensity
DOI	10.1007/s11424-017-6111-y
语种	英语
资助项目	National Science Foundation of China[71201161] ; National Science Foundation of China[71671183]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000429119000007
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/30021
专题	系统科学研究所
通讯作者	Han, Ai
作者单位	1.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
推荐引用方式 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.