{"title":"新冠肺炎不确定性下全球股市反馈交易","authors":"E. Coşkun","doi":"10.1108/rbf-08-2021-0154","DOIUrl":null,"url":null,"abstract":"PurposeAlthough some research has been carried out on feedback trading in different asset classes, there have been few empirical investigations that consider both major and emerging stock markets (Koutmos, 1997; Antoniou et al., 2005; Kim, 2009) stock index futures (Salm and Schuppli, 2010). In this study, the author examines positive/negative feedback trading in both developed-emerging-frontier-standalone (51) stock markets for 2010–2020 and sub-periods including COVID-19 period.Design/methodology/approachThe hypothesis “feedback trading behaviour led the price boom/bust in the stock markets during the first quarter of COVID-19 pandemic” is tested by employing the Sentana and Wadhwani (1992) framework and using asymmetrical GARCH models (GJRGARCH, EGARCH) in accordance with the empirical literature.FindingsThe following conclusions can be drawn from the present study; (1) There is no evidence to support a significant distinction between developed, emerging, frontier or standalone markets or high/upper middle, lower middle income economies in the case of feedback trading. It is more likely to be a general phenomenon reflecting the outcomes of general human psychology (2) in the long term (2010–2020) based on the feedback trading results Asian stock markets appear to be far from efficiency.Research limitations/implicationsStock markets are selected based on data availability.Practical implicationsSeveral inferences can be drawn about overall results. First, investors and portfolio managers should beware of their investment decisions during bearish market conditions where volatility is on the rise and also when there is a strong reaction to bad news/negative shocks in the market. Moreover, investing in Asia stock markets may require more attention since those markets are reputed to be more “idiosyncratic”, less reliant on economic and corporate fundamentals in their pricing. Moreover, the impact of foreign investors on stock market volatility and returns and weaker implementation of regulations also affect the efficiency of the markets (Lipinsky and Ong, 2014).Originality/valueTo the best of the author’s knowledge, most studies in the field of feedback trading in stock markets have only focused on a small sample of countries and second, the effect of COVID-19 uncertainty on the stock markets have not been addressed in the literature with respect to feedback trading. This paper fills these literature gaps. This study is expected to provide useful insights for understanding the instabilities in stock markets particularly under conditions of high uncertainty and to fill the gap in the literature by comparing the results for a large sample of countries both in the long term and in the pandemic.Highlights for reviewThis study has shown that feedback trading is more prevalent in Asian stock markets in the long run in Europe, America or Middle East for the period 2010–2020.Positive feedback traders generally dominated most of the stock markets during the early period of COVID-19 pandemic.Another major finding was that the stock markets in Malaysia, Japan, the Philippines, Estonia, Portugal and Ukraine are dominated by negative feedback traders which may be interpreted as “disposition effect” meaning that they sell the “past winners”.In Indonesia, New Zealand, China, Austria, Greece, UK, Finland, Spain, Iceland, Norway, Switzerland, Poland, Turkey, Chile and Argentina neither positive nor negative feedback trading exists even under uncertain conditions.","PeriodicalId":44559,"journal":{"name":"Review of Behavioral Finance","volume":null,"pages":null},"PeriodicalIF":1.9000,"publicationDate":"2022-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Feedback trading in global stock markets under uncertainty of COVID-19\",\"authors\":\"E. 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In this study, the author examines positive/negative feedback trading in both developed-emerging-frontier-standalone (51) stock markets for 2010–2020 and sub-periods including COVID-19 period.Design/methodology/approachThe hypothesis “feedback trading behaviour led the price boom/bust in the stock markets during the first quarter of COVID-19 pandemic” is tested by employing the Sentana and Wadhwani (1992) framework and using asymmetrical GARCH models (GJRGARCH, EGARCH) in accordance with the empirical literature.FindingsThe following conclusions can be drawn from the present study; (1) There is no evidence to support a significant distinction between developed, emerging, frontier or standalone markets or high/upper middle, lower middle income economies in the case of feedback trading. It is more likely to be a general phenomenon reflecting the outcomes of general human psychology (2) in the long term (2010–2020) based on the feedback trading results Asian stock markets appear to be far from efficiency.Research limitations/implicationsStock markets are selected based on data availability.Practical implicationsSeveral inferences can be drawn about overall results. First, investors and portfolio managers should beware of their investment decisions during bearish market conditions where volatility is on the rise and also when there is a strong reaction to bad news/negative shocks in the market. Moreover, investing in Asia stock markets may require more attention since those markets are reputed to be more “idiosyncratic”, less reliant on economic and corporate fundamentals in their pricing. 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引用次数: 2
摘要
虽然对不同资产类别的反馈交易进行了一些研究,但很少有实证调查同时考虑主要和新兴股票市场(Koutmos, 1997;Antoniou等人,2005;股指期货(Salm and Schuppli, 2010)。在本研究中,作者考察了2010-2020年发达-新兴-前沿独立(51)股票市场和包括COVID-19在内的子时期的正/负反馈交易。设计/方法/方法采用Sentana和Wadhwani(1992)框架,并根据实证文献使用不对称GARCH模型(GJRGARCH, EGARCH),对“反馈交易行为导致COVID-19大流行第一季度股票市场价格暴涨/暴跌”这一假设进行了检验。从本研究中可以得出以下结论:(1)在反馈交易的情况下,没有证据支持发达市场、新兴市场、前沿市场或独立市场或高/中上收入经济体、中低收入经济体之间存在显著区别。从反馈交易结果来看,这更可能是一种反映长期(2010-2020)人类普遍心理(2)结果的普遍现象。研究的局限性/意义股票市场的选择是基于数据的可用性。实际意义总的结果可以得出几个推论。首先,投资者和投资组合经理应该注意他们在市场波动率上升的熊市条件下的投资决策,以及当市场对坏消息/负面冲击有强烈反应时。此外,投资亚洲股市可能需要更多关注,因为这些市场被认为更为“特殊”,在定价方面较少依赖于经济和企业基本面。此外,外国投资者对股票市场波动和回报的影响以及监管执行不力也影响了市场的效率(Lipinsky和Ong, 2014)。原创性/价值据作者所知,股票市场反馈交易领域的大多数研究仅关注于国家的小样本,其次,关于反馈交易的文献中尚未解决COVID-19不确定性对股票市场的影响。本文填补了这些文献空白。预计这项研究将为理解股票市场的不稳定性,特别是在高度不确定性条件下的不稳定性提供有用的见解,并通过比较大量国家样本在长期和大流行期间的结果来填补文献中的空白。本研究表明,从长远来看,反馈交易在2010-2020年期间在欧洲、美国或中东的亚洲股票市场更为普遍。在COVID-19大流行初期,正反馈交易者普遍主导了大多数股票市场。另一个重要发现是,马来西亚、日本、菲律宾、爱沙尼亚、葡萄牙和乌克兰的股票市场由负面反馈交易者主导,这可能被解释为“处置效应”,即他们出售“过去的赢家”。在印度尼西亚、新西兰、中国、奥地利、希腊、英国、芬兰、西班牙、冰岛、挪威、瑞士、波兰、土耳其、智利和阿根廷,即使在不确定的条件下,也不存在正反馈和负反馈交易。
Feedback trading in global stock markets under uncertainty of COVID-19
PurposeAlthough some research has been carried out on feedback trading in different asset classes, there have been few empirical investigations that consider both major and emerging stock markets (Koutmos, 1997; Antoniou et al., 2005; Kim, 2009) stock index futures (Salm and Schuppli, 2010). In this study, the author examines positive/negative feedback trading in both developed-emerging-frontier-standalone (51) stock markets for 2010–2020 and sub-periods including COVID-19 period.Design/methodology/approachThe hypothesis “feedback trading behaviour led the price boom/bust in the stock markets during the first quarter of COVID-19 pandemic” is tested by employing the Sentana and Wadhwani (1992) framework and using asymmetrical GARCH models (GJRGARCH, EGARCH) in accordance with the empirical literature.FindingsThe following conclusions can be drawn from the present study; (1) There is no evidence to support a significant distinction between developed, emerging, frontier or standalone markets or high/upper middle, lower middle income economies in the case of feedback trading. It is more likely to be a general phenomenon reflecting the outcomes of general human psychology (2) in the long term (2010–2020) based on the feedback trading results Asian stock markets appear to be far from efficiency.Research limitations/implicationsStock markets are selected based on data availability.Practical implicationsSeveral inferences can be drawn about overall results. First, investors and portfolio managers should beware of their investment decisions during bearish market conditions where volatility is on the rise and also when there is a strong reaction to bad news/negative shocks in the market. Moreover, investing in Asia stock markets may require more attention since those markets are reputed to be more “idiosyncratic”, less reliant on economic and corporate fundamentals in their pricing. Moreover, the impact of foreign investors on stock market volatility and returns and weaker implementation of regulations also affect the efficiency of the markets (Lipinsky and Ong, 2014).Originality/valueTo the best of the author’s knowledge, most studies in the field of feedback trading in stock markets have only focused on a small sample of countries and second, the effect of COVID-19 uncertainty on the stock markets have not been addressed in the literature with respect to feedback trading. This paper fills these literature gaps. This study is expected to provide useful insights for understanding the instabilities in stock markets particularly under conditions of high uncertainty and to fill the gap in the literature by comparing the results for a large sample of countries both in the long term and in the pandemic.Highlights for reviewThis study has shown that feedback trading is more prevalent in Asian stock markets in the long run in Europe, America or Middle East for the period 2010–2020.Positive feedback traders generally dominated most of the stock markets during the early period of COVID-19 pandemic.Another major finding was that the stock markets in Malaysia, Japan, the Philippines, Estonia, Portugal and Ukraine are dominated by negative feedback traders which may be interpreted as “disposition effect” meaning that they sell the “past winners”.In Indonesia, New Zealand, China, Austria, Greece, UK, Finland, Spain, Iceland, Norway, Switzerland, Poland, Turkey, Chile and Argentina neither positive nor negative feedback trading exists even under uncertain conditions.
期刊介绍:
Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.