High-Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market

被引：14
|
作者：
Wan, Die [1 ]
Yang, Xiaoguang [2 ]
机构：
[1] Zhejiang Gongshang Univ, Sch Finance, Hangzhou, Zhejiang, Peoples R China
[2] Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
来源：
INTERNATIONAL REVIEW OF FINANCE | 2017年 / 17卷 / 04期
关键词：
INVESTMENT STRATEGIES; INFORMATION-CONTENT; FINANCIAL-MARKETS; SHORT SALES; RETURNS; VOLATILITY; EFFICIENCY; BEHAVIOR; AUTOCORRELATION; SPECULATION;
D O I：
10.1111/irfi.12116
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper managed to measure the positive feedback trading intensity and its asymmetry with high-frequency transaction data of China's individual stocks. The intraday positive feedback trading is found to be heterogeneous, and buying-winners effect is significantly stronger than selling-losers effect. In general, the high-frequency asymmetric positive feedback trading's impact on market quality is mixed: The intraday positive feedback trades contribute to a liquid and active-trading market but at the same time slow down the price discovery process and reduce the price efficiency.
引用
收藏
页码：493 / 523
页数：31
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