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

Figure 1

(a) Autocorrelation of log return rate of CSI300 Index from Jan 2004 to Jun 2017. The sequence is autocorrelated within about 20 lags empirically, which is why we set in (2). (b) Exception and threshold for trading action by contrarian timers in year 2016. The blue curve is the rate of return of the CSI300 Index in 2016. The red curve is the threshold to sell. The yellow curve is the threshold to buy. The black curve is the expectation of the returns.

(a)

(b)