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

页码：493 / 523

页数：31

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