Does Positive-Feedback Trading by Institutions Contribute to Stock Return Momentum?

2009 ◽  
Author(s):  
Tao Shu
Keyword(s):  
Positive Feedback ◽  
Stock Return ◽  
Feedback Trading ◽  
Return Momentum

scholarly journals Bayesian analysis of time-varying interactions between stock returns and foreign equity flows

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Boubekeur Baba ◽  
Güven Sevil
Keyword(s):  
Stock Returns ◽  
Negative Feedback ◽  
Positive Feedback ◽  
Positive Response ◽  
Time Varying ◽  
Economic Uncertainty ◽  
Foreign Investors ◽  
New Findings ◽  
Net Flows ◽  
Feedback Trading

AbstractThis study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new findings about foreign investors’ trading behaviors. First, we find evidence that positive feedback trading often appears during periods of high economic uncertainty, whereas negative feedback trading is exclusively observable during periods of low economic uncertainty. Second, the foreign investors’ feedback trading appears mostly to be well-timed and often leads the time-varying economic uncertainty except in periods of global crises. Third, lagged negative (positive) response of net flows to economic uncertainty is found to be coupled with lagged positive (negative) feedback trading. Fourth, the study documents an asymmetric response of foreign investors with regard to negative and positive shocks of economic uncertainty. Specifically, we find that they instantly turn to positive feedback trading after a negative contemporaneous response of net flows to shocks of economic uncertainty. In contrast, they move slowly toward negative feedback trading after a positive response of net flows to uncertainty shocks.

The determinants of positive feedback trading behaviors in Bitcoin markets

2021 ◽  
pp. 102120
Author(s):  
Jying-Nan Wang ◽  
Yen-Hsien Lee ◽  
Hung-Chun Liu ◽  
Ming-Chih Lee
Keyword(s):  
Positive Feedback ◽  
Feedback Trading

scholarly journals Stock returns, illiquidity and feedback trading

2020 ◽  
Vol 19 (2) ◽  
pp. 135-145
Author(s):  
Jing Chen ◽  
David G. McMillan
Keyword(s):  
Stock Returns ◽  
Positive Feedback ◽  
Stock Prices ◽  
Sovereign Debt ◽  
Negative Impact ◽  
Estimation Methods ◽  
Content Type ◽  
Study Results ◽  
European Markets ◽  
Feedback Trading

Purpose This study aims to examine the relation between illiquidity, feedback trading and stock returns for several European markets, using panel regression methods, during the financial and the sovereign debt crises. The authors’ interest here lies twofold. First, the authors seek to compare the results obtained here under crisis conditions with those in the existing literature. Second, and of greater importance, the authors wish to examine the interaction between liquidity and feedback trading and their effect on stock returns. Design/methodology/approach The authors jointly model both feedback trading and illiquidity, which are typically considered in isolation. The authors use panel estimation methods to examine the relations across the European markets as a whole. Findings The key results suggest that in common with the literature, illiquidity has a negative impact upon contemporaneous stock returns, while supportive evidence of positive feedback trading is reported. However, in contrast to the existing literature, lagged illiquidity is not a priced risk, while negative shocks do not lead to greater feedback trading behaviour. Regarding the interaction between illiquidity and feedback trading, the study results support the view that greater illiquidity is associated with stronger positive feedback. Originality/value The study results suggest that when price changes are more observable, due to low liquidity, then feedback trading increases. Therefore, during the crisis periods that afflicted European markets, the lower levels of liquidity prevalent led to an increase in feedback trading. Thus, negative liquidity shocks that led to a fall in stock prices were exacerbated by feedback trading.

scholarly journals Asymmetries of Positive Feedback Trading in Individual Stocks: Evidences from China

2016 ◽  
Vol 1 (1) ◽  
pp. 3-27 ◽  
Author(s):  
Die Wan ◽  
Weiyi Liu ◽  
Junbo Wang ◽  
Xiaoguang Yang
Keyword(s):  
Positive Feedback ◽  
Feedback Trading
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