liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket

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	liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket
	Wan Die 1; Wei Xianhua 2; Yang Xiaoguang3
	2017
发表期刊	journalofsystemsscienceandcomplexity
ISSN	1009-6124
卷号	30 期号:2 页码:434
摘要	Using 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.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/41498
专题	系统科学研究所
作者单位	1.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
推荐引用方式 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.