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Business cycle variation in positive feedback trading : evidence from the G-7 economies

Chau, F.; Deesomsak, R.

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Abstract

Using the business cycle indicators and the aggregate stock market data, this paper examines the degree of positive feedback trading in the G-7 economies and the extent to which such behaviour varies across business cycle. The evidence suggests that there is a significant positive feedback trading in the major stock exchanges of G-7 countries and its intensity is linked to the overall macroeconomic conditions. Specifically, our investigation reveals that in expansions there is more active positive feedback trading than in recessions. Overall, our results yield an important insight into the effect of business cycle on investors’ behaviour and market dynamics and bear important implications for the investment professions and market regulators.

Citation

Chau, F., & Deesomsak, R. (2015). Business cycle variation in positive feedback trading : evidence from the G-7 economies. Journal of International Financial Markets, Institutions and Money, 35, 147-159. https://doi.org/10.1016/j.intfin.2014.12.003

Journal Article Type Article
Acceptance Date Dec 12, 2014
Online Publication Date Dec 22, 2014
Publication Date Mar 1, 2015
Deposit Date Dec 29, 2014
Publicly Available Date Jan 14, 2015
Journal Journal of International Financial Markets, Institutions and Money
Print ISSN 1042-4431
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 35
Pages 147-159
DOI https://doi.org/10.1016/j.intfin.2014.12.003
Keywords Business cycle, Feedback trading, G-7 economies.
Public URL https://durham-repository.worktribe.com/output/1414967

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Copyright Statement
NOTICE: this is the author’s version of a work that was accepted for publication in Journal of International Financial Markets, Institutions and Money. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of International Financial Markets, Institutions and Money, 35, March 2015, 10.1016/j.intfin.2014.12.003.




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