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Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market

文献类型：期刊论文

作者Wan Die1; Wei Xianhua2; Yang Xiaoguang3
刊名JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
出版日期2017-04-01
卷号30期号:2页码:434-463
关键词Event study method informed trading liquidity dynamics price jumps price reversal
ISSN号1009-6124
DOI10.1007/s11424-016-5033-4
英文摘要Using 4128 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, this paper investigates the liquidity dynamics around price jumps in Chinese market. Some interesting empirical results are obtained and the corresponding explanations are given. The frequency of positive jumps is quite higher than that of negative jumps. The trading volumes and average trade sizes are all in a high level around positive jumps. The relatively low liquidities around negative jumps show that negative jumps may be generated and enlarged by poor liquidity provision. The price reversal after price jumps is significant, and price reversal lasts longer after positive jumps. Moreover, the size and direction of jumps are significantly correlated with the returns and trades in the post-jump trading time. These findings are believed to be associated with the high proportion of retail investors and their herding behavior for price trend chasing.
资助项目National Natural Science Foundation[71431008] ; National Natural Science Foundation[71532013] ; National Natural Science Foundation[71501170] ; Zhejiang Provincial National Science Foundation[LQ16G010001] ; Zhejiang Provincial Key Research Base for Humanities and Social Science Research (Applied Economics in Zhejiang Gongshang University)
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000397332200012
出版者SPRINGER HEIDELBERG
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/24985]  
专题系统科学研究所
通讯作者Wan Die
作者单位1.Zhejiang Gongshang Univ, Sch Finance, Hangzhou 310018, Peoples R China
2.Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Wan Die,Wei Xianhua,Yang Xiaoguang. Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2017,30(2):434-463.
APA Wan Die,Wei Xianhua,&Yang Xiaoguang.(2017).Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,30(2),434-463.
MLA Wan Die,et al."Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 30.2(2017):434-463.

入库方式： OAI收割

来源：数学与系统科学研究院

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