Journal ArticleDOI
Positive feedback trading in emerging capital markets
Gregory Koutmos,Reza Saidi +1 more
TLDR
In this paper, the authors present evidence that positive feedback trading activity is also present in emerging capital markets but mostly during market declines, indicating that feedback trading may be partially responsible for stock return autocorrelations becoming negative and volatility rises.Abstract:
Positive feedback trading can induce autocorrelation in stock returns and increase volatility. If large numbers of market participants engage in positive feedback trading strategies asset prices may deviate substantially and persistently from fundamental values. Recent studies show evidence of positive feedback trading (i.e. selling during market declines and buying during market advances) in developed stock markets. The paper presents evidence that positive feedback trading activity is also present in emerging capital markets but mostly during market declines. During such periods stock return autocorrelations become negative and volatility rises. Volatility is in all cases higher during market declines suggesting that feedback trading may be partially responsible.read more
Citations
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Journal ArticleDOI
Oil price Dynamics and Speculation. A Multivariate Financial Approach
TL;DR: In this article, the authors assess empirically whether speculation affects oil price dynamics and find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time-varying first and second order conditional moment interactions affects both the CAPM and feedback trading components of the model.
Journal ArticleDOI
Oil Price Dynamics and Speculation: A Multivariate Financial Approach
TL;DR: In this paper, the authors assess empirically whether speculation affects oil price dynamics and find strong evidence that oil price shifts are negatively related to stock price and exchange rate changes and that a complex web of time varying first and second order conditional moment interactions affect both the CAPM and feedback trading components of the model.
Journal ArticleDOI
The US 2000‐2002 market descent: How much longer and deeper?
Didier Sornette,Wei-Xing Zhou +1 more
TL;DR: The authors predict an overall increasing market until the end of the year 2002 or until the first quarter of 2003; they predict a severe following descent (with maybe one or two severe ups and downs in the middle) which stops during the first semester of 2004.
Journal ArticleDOI
Do Foreign Institutional Investors Destabilize China’s A-Share Markets?
Michael Schuppli,Martin T. Bohl +1 more
TL;DR: This paper investigated the effect of foreign institutional investors on the stability of Chinese stock markets and found that foreign institutions have a stabilizing effect on Chinese stock market and contribute to market efficiency. But domestic investors appear to engage in positive feedback trading.
Journal ArticleDOI
Empirical evidence on feedback trading in mature and emerging stock markets
Martin T. Bohl,Pierre L. Siklos +1 more
TL;DR: In this article, the authors investigate the hypothesis that some participants in mature and emerging stock markets engage in feedback trading, based on the Shiller-Sentana-Wadhwani model.
References
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Journal ArticleDOI
Conditional heteroskedasticity in asset returns: a new approach
TL;DR: In this article, an exponential ARCH model is proposed to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987, which is an improvement over the widely-used GARCH model.
Journal ArticleDOI
An intertemporal capital asset pricing model
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Journal ArticleDOI
Noise Trader Risk in Financial Markets
TL;DR: In this article, the authors present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns.
Journal ArticleDOI
Measuring and Testing the Impact of News on Volatility
Robert F. Engle,Victor K. Ng +1 more
TL;DR: This paper defined the news impact curve which measures how new information is incorporated into volatility estimates and compared various ARCH models including a partially nonparametric one with daily Japanese stock return data.