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Proceedings of the 2nd International Conference on Big Data Economy and Digital Management, BDEDM 2023, January 6-8, 2023, Changsha, China

Research Article

The Influence of Asymmetry of Positive Feedback Trade on Expected return: An Empirical Study of China Securities 800

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  • @INPROCEEDINGS{10.4108/eai.6-1-2023.2330374,
        author={Qinyi  Yu},
        title={The Influence of Asymmetry of Positive Feedback Trade on Expected return: An Empirical Study of China Securities 800},
        proceedings={Proceedings of the 2nd International Conference on Big Data Economy and Digital Management, BDEDM 2023, January 6-8, 2023, Changsha, China},
        publisher={EAI},
        proceedings_a={BDEDM},
        year={2023},
        month={6},
        keywords={positive feedback trading asymmetry a-capm model expected return risk premium},
        doi={10.4108/eai.6-1-2023.2330374}
    }
    
  • Qinyi Yu
    Year: 2023
    The Influence of Asymmetry of Positive Feedback Trade on Expected return: An Empirical Study of China Securities 800
    BDEDM
    EAI
    DOI: 10.4108/eai.6-1-2023.2330374
Qinyi Yu1,*
  • 1: Zhejiang Gongshang University
*Contact email: 2006070136@pop.zjgsu.edu.cn

Abstract

Using the measurement and empirical research on the asymmetry of the stock market, this paper confirms risk premium of positive feedback trading asymmetry and its impact on expected returns in China. Through correlation analysis, it is confirmed that the asymmetry factor can represent the trading intensity of retail investors. The A-CAPM model is constructed by incorporating the asymmetry factor into the explanatory framework of stock expected return, and through the significant change of the improved regression intercept term, it is confirmed that the asymmetry factor can better explain the risk premium. Finally, according to the value of the asymmetric factor, the data are divided into four parts, and it is found that the influence of the asymmetric factor on the expected return is opposite to the sign of the factor, and the influence increases with the increase of the absolute value of the factor.

Keywords
positive feedback trading asymmetry a-capm model expected return risk premium
Published
2023-06-13
Publisher
EAI
http://dx.doi.org/10.4108/eai.6-1-2023.2330374
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