componentacdmodelanditsapplicationinstudyingthepricerelatedfeedbackeffectininvestortradingbehaviorsinchinesestockmarket

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	componentacdmodelanditsapplicationinstudyingthepricerelatedfeedbackeffectininvestortradingbehaviorsinchinesestockmarket
	Huang Zhiyuan 1; Han Ai2 ; Wang Shouyang 1
	2018
发表期刊	journalofsystemsscienceandcomplexity
ISSN	1009-6124
卷号	031 期号:003 页码:677
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.
语种	英语
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/46218
专题	系统科学研究所
作者单位	1.中国科学院 2.中国科学院数学与系统科学研究院
推荐引用方式 GB/T 7714	Huang Zhiyuan,Han Ai,Wang Shouyang. componentacdmodelanditsapplicationinstudyingthepricerelatedfeedbackeffectininvestortradingbehaviorsinchinesestockmarket[J]. journalofsystemsscienceandcomplexity,2018,031(003):677.
APA	Huang Zhiyuan,Han Ai,&Wang Shouyang.(2018).componentacdmodelanditsapplicationinstudyingthepricerelatedfeedbackeffectininvestortradingbehaviorsinchinesestockmarket.journalofsystemsscienceandcomplexity,031(003),677.
MLA	Huang Zhiyuan,et al."componentacdmodelanditsapplicationinstudyingthepricerelatedfeedbackeffectininvestortradingbehaviorsinchinesestockmarket".journalofsystemsscienceandcomplexity 031.003(2018):677.