Component ACD Model and Its Application in Studying the Price-Related Feedback Effect in Investor Trading Behaviors in Chinese Stock Market
文献类型：期刊论文
| 作者 | Huang, Zhiyuan1; Han, Ai2 ; Wang, Shouyang1,2
|
| 刊名 | JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
 |
| 出版日期 | 2018-06-01 |
| 卷号 | 31期号:3页码:677-695 |
| 关键词 | Component ACD model feedback effect investor behavior market status trading intensity |
| ISSN号 | 1009-6124 |
| DOI | 10.1007/s11424-017-6111-y |
| 英文摘要 | This paper explores the investors' feedback to the price change by modelling the price-related dynamics of trading intensity. A component decomposition duration modeling approach, called the component autoregressive conditional duration (CACD) model, is proposed to capture the variation of trading intensity across time intervals between price change events. Based on the CACD model, an empirical analysis is carried out on the Chinese stock market that covers different market statuses. The empirical results suggest that the CACD model can capture the price-related dynamics of trading intensity, which supports the existence of the feedback effect and is robust across different market statuses. The authors also study how the investors react to the price change by examining the driven factors of the price-related dynamics of trading intensity. The authors find that the trading can be triggered by the fast rise in the price level and the high trading volume. Besides, investors are more sensitive to the price change direction in the sideways market than in the upward or downward markets. |
| 资助项目 | National Science Foundation of China[71201161] ; National Science Foundation of China[71671183] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000429119000007 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/30020]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Han, Ai |
| 作者单位 | 1.Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Huang, Zhiyuan,Han, Ai,Wang, Shouyang. Component ACD Model and Its Application in Studying the Price-Related Feedback Effect in Investor Trading Behaviors in Chinese Stock Market[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2018,31(3):677-695. |
| APA | Huang, Zhiyuan,Han, Ai,&Wang, Shouyang.(2018).Component ACD Model and Its Application in Studying the Price-Related Feedback Effect in Investor Trading Behaviors in Chinese Stock Market.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,31(3),677-695. |
| MLA | Huang, Zhiyuan,et al."Component ACD Model and Its Application in Studying the Price-Related Feedback Effect in Investor Trading Behaviors in Chinese Stock Market".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 31.3(2018):677-695. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。