DocumentCode :
596719
Title :
A study of feedback trading in stock index futures: An empirical analysis on Asian markets
Author :
Chi Xie ; Zhen Zhu ; Cong Yu
Author_Institution :
Center of Finance & Investment Manage., Hunan Univ., Changsha, China
fYear :
2012
fDate :
18-20 Oct. 2012
Firstpage :
900
Lastpage :
902
Abstract :
Feedback trading is an irrational trading activity that making investment decisions only based on past changes in asset prices´ movement. Based on the stock index futures daily returns data, this paper estimates the feedback trading in nine Asian stock index futures markets using a TGARCH-based asymmetric feedback trading model. This paper also discusses the relationship between the feedback trading and return autocorrelation. The results show that there is strong evidence of positive feedback trading in the majority of Asian stock index futures markets, which induces negative return autocorrelation. At the same time, the positive feedback trading activity is much more violent during periods of market declines than periods of market advances, with a clear asymmetry. From the perspective of market participants´ behavior, the emergence of feedback traders in stock index futures market has destabilizing effects on the spot market to some extent.
Keywords :
autoregressive moving average processes; feedback; investment; stock markets; Asian stock index futures markets; TGARCH-based asymmetric feedback trading model; investment decisions; irrational trading activity; positive feedback trading activity; return autocorrelation; Correlation; Economics; Educational institutions; Finance; Indexes; Mathematical model; Reactive power;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Advanced Computational Intelligence (ICACI), 2012 IEEE Fifth International Conference on
Conference_Location :
Nanjing
Print_ISBN :
978-1-4673-1743-6
Type :
conf
DOI :
10.1109/ICACI.2012.6463301
Filename :
6463301
Link To Document :
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