Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market

doi:10.1007/s11424-016-5033-4

CORC > 数学与系统科学研究院 > 中国科学院数学与系统科学研究院 > 系统科学研究所

	Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market
	Wan Die 1; Wei Xianhua 2; Yang Xiaoguang3
刊名	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
	2017-04-01
卷号	30 期号:2 页码:434-463
关键词	Event study method informed trading liquidity dynamics price jumps price reversal
ISSN号	1009-6124
DOI	10.1007/s11424-016-5033-4
英文摘要	Using 4128 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, this paper investigates the liquidity dynamics around price jumps in Chinese market. Some interesting empirical results are obtained and the corresponding explanations are given. The frequency of positive jumps is quite higher than that of negative jumps. The trading volumes and average trade sizes are all in a high level around positive jumps. The relatively low liquidities around negative jumps show that negative jumps may be generated and enlarged by poor liquidity provision. The price reversal after price jumps is significant, and price reversal lasts longer after positive jumps. Moreover, the size and direction of jumps are significantly correlated with the returns and trades in the post-jump trading time. These findings are believed to be associated with the high proportion of retail investors and their herding behavior for price trend chasing.
资助项目	National Natural Science Foundation[71431008] ; National Natural Science Foundation[71532013] ; National Natural Science Foundation[71501170] ; Zhejiang Provincial National Science Foundation[LQ16G010001] ; Zhejiang Provincial Key Research Base for Humanities and Social Science Research (Applied Economics in Zhejiang Gongshang University)
WOS研究方向	Mathematics
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000397332200012
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/24985]
专题	系统科学研究所
通讯作者	Wan Die
作者单位	1.Zhejiang Gongshang Univ, Sch Finance, Hangzhou 310018, Peoples R China 2.Univ Chinese Acad Sci, Sch Management, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Wan Die,Wei Xianhua,Yang Xiaoguang. Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2017,30(2):434-463.
APA	Wan Die,Wei Xianhua,&Yang Xiaoguang.(2017).Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,30(2),434-463.
MLA	Wan Die,et al."Liquidity Dynamics Around Intraday Price Jumps in Chinese Stock Market".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 30.2(2017):434-463.