Empirical Study on Positive Feedback Trading in 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 (CGARCH) is it estimates positive feedback trading activity of stock market to come. Analyze 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 CGARCH model Chinese stock market
JIANG Bao-zhen SHEN Yue ZHAO Jian-jun
College of Business administration,Zhejiang University of Technology,Hangzhou,P.R.China,310014 School of Economics and Finance,Xian Jiaotong University,P.R.China,710061
国际会议
The 5th International Annual Conference on WTO and Financial Engineering(第五届WTO与金融工程国际会议)
杭州
英文
467-474
2008-05-18（万方平台首次上网日期，不代表论文的发表时间）