Asymmetries of Positive Feedback Trading in Individual Stocks : Evidences from China
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
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Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 3-27 |
| Journal / Publication | Journal of Management Science and Engineering |
| Volume | 1 |
| Issue number | 1 |
| Online published | 30 Sep 2016 |
| Publication status | Published - Dec 2016 |
Link(s)
| DOI | DOI |
|---|---|
| Attachment(s) | Documents
Publisher's Copyright Statement
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| Link to Scopus | https://www.scopus.com/record/display.uri?eid=2-s2.0-85037369669&origin=recordpage |
| Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(89e9b99f-06bc-448e-82cf-71aa479f32c1).html |
Abstract
The paper investigates the positive feedback trading phenomenon of individual stocks in China's stock market. Heterogeneous regression models and a non-parametric Sentana-Wadhwani model are developed and applied to prove the existence of rise-favor asymmetric feedback trading. This result is consistent with the reality of China's stock market, that is, the herding behavior of irrational retail investors has a significant influence on the market. However, the result is in contrast with the stylized findings using market indices. Further empirical research shows that this distinction could be explained by the average effect of indices. The asymmetries of positive feedback trading caused by heterogeneous feedback trading and the uneven distributed retail trading in individual stocks, are covered by the weighted average effect in indices. Therefore, the indices exhibit a different asymmetric pattern from that of individual stocks.
Research Area(s)
- Asymmetry, Index, Individual stocks, Positive feedback trading, Retail investor
Citation Format(s)
Asymmetries of Positive Feedback Trading in Individual Stocks : Evidences from China. / Wan, Die; Liu, Weiyi; Wang, Junbo et al.
In: Journal of Management Science and Engineering, Vol. 1, No. 1, 12.2016, p. 3-27.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
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