The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market
研究15种中国商品期货，发现羊群行为通过订单不平衡恶化流动性，而过度交易通过增加市场深度改善流动性；处置效应仅在波动率高时出现，且需区分上涨和下跌市场。
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.