Exploring Contrarian Degree in the Trading Behavior of China's Stock Market
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Exploring Contrarian Degree in the Trading Behavior of China's Stock Market

Chen, Yue;Niu, Xiaojian;Zhang, Yan;
complexity 2019 Vol. 2019 pp. -
318
chen2019exploringcomplexity

Abstract

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.

Keywords

Technology Agriculture (General) economics as a science finance social sciences industries. land use. labor economic theory. demography political science mathematics electronic computers. computer science political science (general) risk in industry. risk management accounting. bookkeeping

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http://dx.doi.org/10.1155/2019/1678086

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