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Positive Feedback Investment Strategies and Destabilizing Rational Speculation

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Cited by:

  1. Baumann, Michael Heinrich & Baumann, Michaela & Erler, Alexander, 2019. "Limitations of stabilizing effects of fundamentalists: Facing positive feedback traders," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-26.
  2. Polk, Christopher & Lou, Dong & Huang, Shiyang, 2016. "The Booms and Busts of Beta Arbitrage," CEPR Discussion Papers 11531, C.E.P.R. Discussion Papers.
  3. Harrison Hong & Terence Lim & Jeremy C. Stein, 2000. "Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies," Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
  4. R. Andergassen, 2003. "Rational destabilising speculation and the riding of bubbles," Working Papers 475, Dipartimento Scienze Economiche, Universita' di Bologna.
  5. Hirota, Shinichi & Sunder, Shyam, 2007. "Price bubbles sans dividend anchors: Evidence from laboratory stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1875-1909, June.
  6. Maier, Gunther & Herath, Shanaka, 2009. "Real Estate Market Efficiency. A Survey of Literature," SRE-Discussion Papers 2009/07, WU Vienna University of Economics and Business.
  7. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "When Overconfident Traders Meet Feedback Traders - Updated from 2016," Economics Department Working Paper Series n270-16.pdf, Department of Economics, National University of Ireland - Maynooth.
  8. Shang-Jin Wei & Jungshik Kim, 1997. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," NBER Working Papers 6256, National Bureau of Economic Research, Inc.
  9. Wang, Xiao-Qing & Wu, Tong & Zhong, Huaming & Su, Chi-Wei, 2023. "Bubble behaviors in nickel price: What roles do geopolitical risk and speculation play?," Resources Policy, Elsevier, vol. 83(C).
  10. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W., 1992. "The impact of institutional trading on stock prices," Journal of Financial Economics, Elsevier, vol. 32(1), pages 23-43, August.
  11. Solomon Y. Deku & Alper Kara & Artur Semeyutin, 2021. "The predictive strength of MBS yield spreads during asset bubbles," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 111-142, January.
  12. Adrian, Tobias, 2009. "Inference, arbitrage, and asset price volatility," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 49-64, January.
  13. Alex Chinco, 2023. "The Ex Ante Likelihood of Bubbles," Management Science, INFORMS, vol. 69(2), pages 1222-1244, February.
  14. Kaustia, Markku & Lehtoranta, Antti & Puttonen, Vesa, 2013. "Does sophistication affect long-term return expectations? Evidence from financial advisers' exam scores," SAFE Working Paper Series 3, Leibniz Institute for Financial Research SAFE.
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  16. Duffy, John & Rabanal, Jean Paul & Rud, Olga A., 2021. "The impact of ETFs in secondary asset markets: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 674-696.
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  24. Ameet Kumar Banerjee & H. K. Pradhan, 2020. "Order Flows, Investor Sentiments and Feedback Trade in Index Futures Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(4), pages 767-782, December.
  25. Yao, Yi & Yang, Rong & Liu, Zhiyuan & Hasan, Iftekhar, 2013. "Government intervention and institutional trading strategy: Evidence from a transition country," Global Finance Journal, Elsevier, vol. 24(1), pages 44-68.
  26. Pramod Kumar Naik & Imlak Shaikh & Toan Luu Duc Huynh, 2022. "Institutional investment activities and stock market volatility amid COVID-19 in India," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 35(1), pages 1542-1560, December.
  27. Klein, Achim & Urbig, Diemo, 2008. "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper 116175, University Library of Munich, Germany, revised 30 Apr 2011.
  28. Cathy Yi-Hsuan Chen & Christian M. Hafner, 2019. "Sentiment-Induced Bubbles in the Cryptocurrency Market," JRFM, MDPI, vol. 12(2), pages 1-12, April.
  29. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
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  31. Ahmed, Ehsan & Koppl, Roger & Rosser, J. Jr. & White, Mark V., 1997. "Complex bubble persistence in closed-end country funds," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 19-37, January.
  32. Stephan Schulmeister, 2014. "A General Financial Transactions Tax. Motives, Effects and Implementation According to the Proposal of the European Commission," WIFO Working Papers 461, WIFO.
  33. Michael McAleer & Kim Radalj, 2013. "Herding, Information Cascades and Volatility Spillovers in Futures Markets," Journal of Reviews on Global Economics, Lifescience Global, vol. 2, pages 307-329.
  34. Sarantis Tsiaplias, 2009. "Examining Feedback, Momentum and Overreaction in National Equity Markets," Melbourne Institute Working Paper Series wp2009n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  35. Cifarelli, Giulio & Paladino, Giovanna, 2010. "Oil price dynamics and speculation: A multivariate financial approach," Energy Economics, Elsevier, vol. 32(2), pages 363-372, March.
  36. Ramkishen Rajan, 2010. "Sand in the Wheels of International Finance: Revisiting the Debate in Light of the East Asian Mayhem," Working Papers id:2686, eSocialSciences.
  37. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
  38. Algieri, Bernardina, 2013. "A Roller Coaster Ride: an empirical investigation of the main drivers of wheat price," Discussion Papers 145556, University of Bonn, Center for Development Research (ZEF).
  39. Júlio Lobão, 2022. "Herding Behavior in the Market for Green Cryptocurrencies: Evidence from CSSD and CSAD Approaches," Sustainability, MDPI, vol. 14(19), pages 1-17, October.
  40. Hirota, Shinichi & Sunder, Shyam, 2007. "Price bubbles sans dividend anchors: Evidence from laboratory stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1875-1909, June.
  41. Su, Chi-Wei & Wang, Kai-Hua & Chang, Hsu-Ling & Dumitrescu–Peculea, Adelina, 2017. "Do iron ore price bubbles occur?," Resources Policy, Elsevier, vol. 53(C), pages 340-346.
  42. Ernan Haruvy & Charles N. Noussair & Owen Powell, 2014. "The Impact of Asset Repurchases and Issues in an Experimental Market," Review of Finance, European Finance Association, vol. 18(2), pages 681-713.
  43. Ming‐Hung Wu & Wan‐Ting Hu & Pei‐Shih Weng, 2023. "Herd behaviors in index futures trading: Driving factors and impact on market volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1373-1392, October.
  44. Karen Croxson & J. James Reade, 2014. "Information and Efficiency: Goal Arrival in Soccer Betting," Economic Journal, Royal Economic Society, vol. 124(575), pages 62-91, March.
  45. Chuang, Wen-I & Lee, Bong-Soo, 2006. "An empirical evaluation of the overconfidence hypothesis," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2489-2515, September.
  46. Xue, Wen-Jun & Zhang, Li-Wen, 2017. "Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models," Economic Modelling, Elsevier, vol. 60(C), pages 391-401.
  47. Eduardo Borensztein & R. Gaston Gelos, 2003. "A Panic-Prone Pack? The Behavior of Emerging Market Mutual Funds," IMF Staff Papers, Palgrave Macmillan, vol. 50(1), pages 1-3.
  48. PAOLO COLLA & MARC GERMAIN & VINCENT Van STEENBERGHE, 2012. "Environmental Policy and Speculation on Markets for Emission Permits," Economica, London School of Economics and Political Science, vol. 79(313), pages 152-182, January.
  49. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.
  50. Deniz ikizlerli, 2020. "Institutional investors and stock market volatility. Evidence from Korea," Applied Economics Letters, Taylor & Francis Journals, vol. 27(6), pages 473-476, March.
  51. Lou, Dong & Polk, Christopher, 2022. "Comomentum: inferring arbitrage activity from return correlations," LSE Research Online Documents on Economics 109318, London School of Economics and Political Science, LSE Library.
  52. Cutler, David M & Poterba, James M & Summers, Lawrence H, 1990. "Speculative Dynamics and the Role of Feedback Traders," American Economic Review, American Economic Association, vol. 80(2), pages 63-68, May.
  53. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
  54. Geoffrey Heal & Howard Kunreuther, 2010. "Social Reinforcement: Cascades, Entrapment, and Tipping," American Economic Journal: Microeconomics, American Economic Association, vol. 2(1), pages 86-99, February.
  55. José Miguel Melo, 2011. "Estratégia Militar e Gestão de Activos: Uma Visão Heurística," Working Papers de Gestão (Management Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
  56. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
  57. John A. Doukas & Phillip J. McKnight, 2005. "European Momentum Strategies, Information Diffusion, and Investor Conservatism," European Financial Management, European Financial Management Association, vol. 11(3), pages 313-338, June.
  58. Akiyama, Eizo & Hanaki, Nobuyuki & Ishikawa, Ryuichiro, 2014. "How do experienced traders respond to inflows of inexperienced traders? An experimental analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 1-18.
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  60. Imran Riaz MALIK* & Attaullah SHAH*, 2014. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 24(2), pages 121-142.
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  62. Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
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