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liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket
Wan Die1; Wei Xianhua2; Yang Xiaoguang3
2017
Source Publicationjournalofsystemsscienceandcomplexity
ISSN1009-6124
Volume30Issue:2Pages:434
AbstractUsing 4128 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, this paper investigates the liquidity dynamics around price jumps in Chinese market. Some interesting empirical results are obtained and the corresponding explanations are given. The frequency of positive jumps is quite higher than that of negative jumps. The trading volumes and average trade sizes are all in a high level around positive jumps. The relatively low liquidities around negative jumps show that negative jumps may be generated and enlarged by poor liquidity provision. The price reversal after price jumps is significant, and price reversal lasts longer after positive jumps. Moreover, the size and direction of jumps are significantly correlated with the returns and trades in the post-jump trading time. These findings are believed to be associated with the high proportion of retail investors and their herding behavior for price trend chasing.
Language英语
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/41498
Collection系统科学研究所
Affiliation1.浙江工商大学
2.中国科学院大学
3.中国科学院数学与系统科学研究院
Recommended Citation
GB/T 7714
Wan Die,Wei Xianhua,Yang Xiaoguang. liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket[J]. journalofsystemsscienceandcomplexity,2017,30(2):434.
APA Wan Die,Wei Xianhua,&Yang Xiaoguang.(2017).liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket.journalofsystemsscienceandcomplexity,30(2),434.
MLA Wan Die,et al."liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket".journalofsystemsscienceandcomplexity 30.2(2017):434.
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