Empirical Study on Positive Feedback Trading in Chinese Stock Market
Positive Feedback Trading strategies are selling during market declines and buying during market advances.Base on the day-trading data of SSE(Shanghai Stock Exchange)Composite Index and SSE(Shenzhen Stock Exchange) Component index in Chinese Stock market from 1996 to 2005, the method to set up one asymmetry component model (TGARCH ) is it estimate positive feedback trading activity of stock market to come. Analyse through empirical study, the impact of feedback trading is to produce negative first order autocorrelation in stock returns which becomes more negative as the level of volatility rises. . And the trading activity of positive feedback is asymmetric when the market rises and drops, the result of the empirical study indicates that drops the trading of positive feedback in time far and violent comparing with the time when the market rises on the market, the obvious lever effect exists.
Positive Feedback Trading ARCH model Chinese stock market
沈悦 赵建军
西安交通大学经济与金融学院,陕西西安710061
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）