| 中国股票市场正反馈交易行为之实证 |
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| 引用本文： | 任波,杨宝臣.中国股票市场正反馈交易行为之实证[J].天津理工大学学报,2005,21(6):82-84. |
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| 作者姓名： | 任波 杨宝臣 |
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| 作者单位： | 天津大学,管理学院,天津,300072 |
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| 摘 要： | 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Shiner、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．
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| 关 键 词： | 收益自相关 反馈交易 GARCH |
| 文章编号： | 1673-095X（2005）06-0082-03 |
| 收稿时间： | 2004-12-15 |
| 修稿时间： | 2004年12月15 |
Empirical research on positive feedback traders in China's stock market |
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| REN Bo,YANG Bao-chen.Empirical research on positive feedback traders in China''''s stock market[J].Journal of Tianjin University of Technology,2005,21(6):82-84. |
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| Authors: | REN Bo YANG Bao-chen |
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| Institution: | School of Management, Tianjin University, Tianjin 300072, China |
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| Abstract: | 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. |
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| Keywords: | return autocorrelation feedback trading GARCH |
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