This paper managed to measure the positive feedback trading intensity and its asymmetry with high‐frequency transaction data of China's individual stocks. The intraday positive feedback trading is found to be heterogeneous, and buying‐winners effect is significantly stronger than selling‐losers effect. In general, the high‐frequency asymmetric positive feedback trading's impact on market quality is mixed: The intraday positive feedback trades contribute to a liquid and active‐trading market but at the same time slow down the price discovery process and reduce the price efficiency.
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