liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket
文献类型：期刊论文
| 作者 | Wan Die1; Wei Xianhua2; Yang Xiaoguang3
|
| 刊名 | journalofsystemsscienceandcomplexity
 |
| 出版日期 | 2017 |
| 卷号 | 30期号:2页码:434 |
| ISSN号 | 1009-6124 |
| 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. |
| 语种 | 英语 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/41497]  |
| 专题 | 系统科学研究所 |
| 作者单位 | 1.浙江工商大学 2.中国科学院大学 3.中国科学院数学与系统科学研究院 |
| 推荐引用方式 GB/T 7714 | Wan Die,Wei Xianhua,Yang Xiaoguang. liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket[J]. journalofsystemsscienceandcomplexity,2017,30(2):434. |
| APA | Wan Die,Wei Xianhua,&Yang Xiaoguang.(2017).liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket.journalofsystemsscienceandcomplexity,30(2),434. |
| MLA | Wan Die,et al."liquiditydynamicsaroundintradaypricejumpsinchinesestockmarket".journalofsystemsscienceandcomplexity 30.2(2017):434. |
入库方式： OAI收割
来源：数学与系统科学研究院
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