Stock Market Positive Feedback Trading and Return Autocorrelation

摘要：

Positive feedback is the trading strategy of irrational investors. Positive feedback traders buying or selling behavior is decided by the stock price of the preceding period. On the presence of positive feedback trading, stock market returns show characteristics which are different from these assumed in the classical financial theory, and thus make the stock market fluctuate extraordinarily. Through establishes a model with the participation of positive feedback trader and rational trader, show that the excess market volatility comes from the traders feedback trading.

关键词： Positive Feedback Trading Noise trader Market Volatility Return Autocorrelation

作者: Pengju ZHAO

作者单位: School of Economics and Management,Zhongyuan University of Technology,Zhengzhou 450007,P.R.China

会议类型: 国际会议

会议名称: 2008 International Conference on Risk and Relianility Management(2008风险与可靠性管理国际会议)

会议地点: 北京

会议语种:英文

页码: 51-54

在线出版日期: 2008-11-10（万方平台首次上网日期，不代表论文的发表时间）