中国股票市场正反馈交易行为之实证

Empirical research on positive feedback traders in China's stock market

本文通过实证分析得出,上海股票市场中显著存在正反馈交易行为.并依靠Shiller、Sentana和Wadhwani提出的模型揭示了收益的自相关性、波动性与反馈交易行为之间的关系.

In this paper we provide empirical evidence on the importance of positive feedback trading for the return behavior in China＇ s Stock Market, Relying on the theoretical models put forward by Shiller and Sentana as well as Wadhwani we exploit the link between index return autocorrelation and volatility to receive deeper insights into the return characteristics induced by traders adhering to positive feedback trading strategies,