摘要
The paper investigates the positive feedback trading phenomenon of individual stocks in China’s stock market.Heterogeneous regression models and a non-parametric Sentana-Wadhwani model are developed and applied to prove the existence of rise-favor asymmetric feedback trading.This result is consistent with the reality of China’s stock market,that is,the herding behavior of irrational retail investors has a significant influence on the market.However,the result is in contrast with the stylized findings using market indices.Further empirical research shows that this distinction could be explained by the average effect of indices.The asymmetries of positive feedback trading caused by heterogeneous feedback trading and the uneven distributed retail trading in individual stocks,are covered by the weighted average effect in indices.Therefore,the indices exhibit a different asymmetric pattern from that of individual stocks.
基金
supported by the National Natural Science Funds with Grant numbers(71431008,71532013,71528001 and 71501170)
Zhejiang Provincial National Science Funds(No.LQ16G010001)
Zhejiang Provincial Key Research Base for Humanities and Social Science Research(Applied Economics in Zhejiang Gongshang University).
