Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets
Download full text from publisher
Other versions of this item:
- Martin Bohl & Pierre Siklos, 2008. "Empirical evidence on feedback trading in mature and emerging stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(17), pages 1379-1389.
References listed on IDEAS
- Sentana, Enrique & Wadhwani, Sushil B, 1992. "Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data," Economic Journal, Royal Economic Society, vol. 102(411), pages 415-425, March.
- Whitney K. Newey & Douglas G. Steigerwald, 1997. "Asymptotic Bias for Quasi-Maximum-Likelihood Estimators in Conditional Heteroskedasticity Models," Econometrica, Econometric Society, vol. 65(3), pages 587-600, May.
- Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
- LeBaron, Blake, 1992.
"Some Relations between Volatility and Serial Correlations in Stock Market Returns,"
The Journal of Business,
University of Chicago Press, vol. 65(2), pages 199-219, April.
- Lebaron, B., 1990. "Some Relations Between Volatility And Serial Correlations In Stock Market Returns," Working papers 9002, Wisconsin Madison - Social Systems.
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993.
"Trading Volume and Serial Correlation in Stock Returns,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 108(4), pages 905-939.
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc.
- Wang, Jiang & Grossman, Sanford & Campbell, John, 1993. "Trading Volume and Serial Correlation in Stock Returns," Scholarly Articles 3128710, Harvard University Department of Economics.
- Schwert, G William, 1989.
" Why Does Stock Market Volatility Change over Time?,"
Journal of Finance,
American Finance Association, vol. 44(5), pages 1115-1153, December.
- G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- De Long, J Bradford, et al, 1990.
" Positive Feedback Investment Strategies and Destabilizing Rational Speculation,"
Journal of Finance,
American Finance Association, vol. 45(2), pages 379-395, June.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
- De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Scholarly Articles 27693805, Harvard University Department of Economics.
- Lo, Andrew W. & Craig MacKinlay, A., 1990.
"An econometric analysis of nonsynchronous trading,"
Journal of Econometrics,
Elsevier, vol. 45(1-2), pages 181-211.
- Andrew W. Lo & Craig A. MacKinlay, "undated". "An Econometric Analysis of Nonsyschronous-Trading," Rodney L. White Center for Financial Research Working Papers 19-89, Wharton School Rodney L. White Center for Financial Research.
- Andrew W. Lo & A. Craig MacKinlay, 1989. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
- Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
- Gregory Koutmos & Reza Saidi, 2001. "Positive feedback trading in emerging capital markets," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 291-297.
- Brooks, Robert D. & Faff, Robert W. & McKenzie, Michael D. & Mitchell, Heather, 2000. "A multi-country study of power ARCH models and national stock market returns," Journal of International Money and Finance, Elsevier, vol. 19(3), pages 377-397, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cifarelli, Giulio & Paladino, Giovanna, 2010.
"Oil price dynamics and speculation: A multivariate financial approach,"
Elsevier, vol. 32(2), pages 363-372, March.
- Giulio Cifarelli & Giovanna Paladino, 2008. "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics wp2008_15.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- 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.
- repec:pje:journl:article14wini is not listed on IDEAS
- Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
- Brooks, Robert, 2007. "Power arch modelling of the volatility of emerging equity markets," Emerging Markets Review, Elsevier, vol. 8(2), pages 124-133, May.
- Wen-Jun Xue & Li-Wen Zhang, 2016. "Stock Return Autocorrelations and Predictability in the Chinese Stock Market: Evidence from Threshold Quantile Autoregressive Models," Working Papers 1605, Florida International University, Department of Economics.
- Warren Dean & Robert Faff, 2011. "Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets," Applied Financial Economics, Taylor & Francis Journals, vol. 21(22), pages 1665-1678.
- Julijana Angelovska, 2013. "Detecting Positive Feedback Trading when Autocorrelation is Positive," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 16(1), pages 93-101, May.
- Schuppli, Michael & Bohl, Martin T., 2010. "Do foreign institutional investors destabilize China's A-share markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(1), pages 36-50, February.
- Arnold, Lutz G. & Brunner, Stephan, 2015. "The economics of rational speculation in the presence of positive feedback trading," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 161-174.
- Michael Schuppli & Martin T. Bohl, 2009. "Do Foreign Institutional Investors Destabilize China’s A-Share Markets?," CQE Working Papers 0909, Center for Quantitative Economics (CQE), University of Muenster.
- repec:rss:jnljef:v2i2p2 is not listed on IDEAS
- repec:eee:riibaf:v:42:y:2017:i:c:p:1289-1297 is not listed on IDEAS
- Chayawadee Chai-Anant & Corinna Ho, 2008. "Understanding Asian equity flows, market returns and exchange rates," BIS Working Papers 245, Bank for International Settlements.
- Bartosz Gębka & Dobromił Serwa, 2012. "Liquidity needs, private information, feedback trading: verifying motives to trade," NBP Working Papers 119, Narodowy Bank Polski, Economic Research Department.
- Gębka, Bartosz & Serwa, Dobromił, 2015. "The elusive nature of motives to trade: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 147-157.
- Salm, Christian A. & Schuppli, Michael, 2010. "Positive feedback trading in stock index futures: International evidence," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 313-322, December.
- Chau, Frankie & Kuo, Jing-Ming & Shi, Yukun, 2015. "Arbitrage opportunities and feedback trading in emissions and energy markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 130-147.
- Du, Ding & Huang, Zhaodan & Liao, Bih-shuang, 2009. "Why is there no momentum in the Taiwan stock market?," Journal of Economics and Business, Elsevier, vol. 61(2), pages 140-152.
- Shah Saeed Hassan Chowdhury & M. Arifur Rahman & M. Shibley Sadique, 2015. "Behaviour of Stock Return Autocorrelation in the GCC Stock Markets," Global Business Review, International Management Institute, vol. 16(5), pages 737-746, October.
More about this item
Keywordsfeedback trading; return autocorrelation; emerging capital markets in central and eastern european contries; asymmetric GARCH models;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:uts:rpaper:137. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford). General contact details of provider: http://edirc.repec.org/data/qfutsau.html .