Article
The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market
The Financial Review
(2021)
Abstract
This paper investigates a sample of 15 Chinese commodity futures to examine the impact of trading behavioral biases on market liquidity under different volatility levels. We construct a measure of shocks driven by news on market fundamentals to capture rational trading behavior and a measure of irrational trading behavior from excess skewness, excess kurtosis, and excess turnover. We find that herding causes deterioration in liquidity mainly by affecting order imbalance, whereas overtrading improves market liquidity by increasing market depth. The disposition effect is identified only when volatility is higher, after a distinction is made between up and down markets.
Disciplines
Publication Date
2021
DOI
10.1111/FIRE.12262
Citation Information
Qingfu Liu, Yiuman Tse and Kaixin Zheng. "The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market" The Financial Review (2021) Available at: http://works.bepress.com/yiuman-tse/139/