Exploring Contrarian Degree in the Trading Behavior of China's Stock Market
Joint Authors
Chen, Yue
Niu, Xiaojian
Zhang, Yan
Source
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-04-10
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
We study the contrarian and trend-following trading behavior of market timers in China's stock market.
Using a network model to describe interpersonal relationships, we deploy the Ising model to capture trading strategies for both contrarians and followers.
With empirical data of China's stock market, we find that contrarians account for 12-14% of trading volume.
We further compare the performance of contrarians and followers and demonstrate the inefficiency of China's stock market where timing arbitrage exists.
We highlight the fact that while the actual return sequence is driven by followers, the contrarians seize a lot of profitable arbitrage opportunities.
American Psychological Association (APA)
Chen, Yue& Niu, Xiaojian& Zhang, Yan. 2019. Exploring Contrarian Degree in the Trading Behavior of China's Stock Market. Complexity،Vol. 2019, no. 2019, pp.1-12.
https://search.emarefa.net/detail/BIM-1131101
Modern Language Association (MLA)
Chen, Yue…[et al.]. Exploring Contrarian Degree in the Trading Behavior of China's Stock Market. Complexity No. 2019 (2019), pp.1-12.
https://search.emarefa.net/detail/BIM-1131101
American Medical Association (AMA)
Chen, Yue& Niu, Xiaojian& Zhang, Yan. Exploring Contrarian Degree in the Trading Behavior of China's Stock Market. Complexity. 2019. Vol. 2019, no. 2019, pp.1-12.
https://search.emarefa.net/detail/BIM-1131101
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1131101