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

High‐Frequency Positive Feedback Trading and Market Quality: Evidence from China's Stock Market 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Review of Finance Wiley

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

International Review of Finance , Volume 17 (4) – Jan 1, 2017

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References (60)

Publisher
Wiley
Copyright
© 2017 International Review of Finance Ltd. 2017
ISSN
1369-412X
eISSN
1468-2443
DOI
10.1111/irfi.12116
Publisher site
See Article on Publisher Site

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.

Journal

International Review of FinanceWiley

Published: Jan 1, 2017

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