High‐Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market

31 Pages Posted: 7 Dec 2017

See all articles by Die Wan

Die Wan

Zhejiang Gongshang University (ZJGSU)

Xiaoguang Yang

Chinese Academy of Sciences (CAS)

Date Written: December 2017

Abstract

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.

Suggested Citation

Wan, Die and Yang, Xiaoguang, High‐Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market (December 2017). International Review of Finance, Vol. 17, Issue 4, pp. 493-523, 2017. Available at SSRN: https://ssrn.com/abstract=3083206 or http://dx.doi.org/10.1111/irfi.12116

Die Wan (Contact Author)

Zhejiang Gongshang University (ZJGSU) ( email )

Zhejiang
China

Xiaoguang Yang

Chinese Academy of Sciences (CAS) ( email )

52 Sanlihe Rd.
Datun Road, Anwai
Beijing, Xicheng District 100864
China

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