Does Optimistic Investor Sentiment Accelerate Taiwan Stock Market Liquidity?

被引：0
|
作者：
Yang, Wan-Ru [1 ]
Chuang, Ming-Che [2 ]
机构：
[1] Natl Univ Kaohsiung, Dept Finance, 700 Kaohsiung Univ Rd, Kaohsiung 811726, Taiwan
[2] Feng Chia Univ, Dept Finance, 100 Wenhua Rd, Taichung 407102, Taiwan
来源：
ASIA-PACIFIC FINANCIAL MARKETS | 2024年
关键词：
Investor sentiment; Liquidity risk; Irrational sentiment; STATED EXPECTATIONS; CROSS-SECTION; RETURNS; DESIRABILITY; PROBABILITY; VOLATILITY; PRICES; RISK; ASK;
D O I：
10.1007/s10690-024-09476-5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This article explores whether the bullish sentiment of retail and institutional investors increases Taiwan stock market liquidity as measured by the Amihud index. We find that optimistic retail investor sentiment increases market liquidity risk and that the impact of institutional investor sentiment on market liquidity is insignificant. Retail investors' irrational sentiment is also critical to Taiwan's market liquidity. The bullish sentiment of retail investors makes stocks with high liquidity risk more illiquid. Moreover, for different liquidity-level portfolios, the influence of retail investor sentiment on stock liquidity is greater than institutional investor sentiment.
引用
收藏
页数：22
相关论文
共 50 条
  • [21] Investor Attention and Stock Liquidity in the Chinese Market
    Zhao, Weihan
    Zhang, Jianing
    [J]. INTERNATIONAL ADVANCES IN ECONOMIC RESEARCH, 2024, 30 (01) : 65 - 82
  • [22] Investor Attention and Stock Liquidity in the Chinese Market
    Weihan Zhao
    Jianing Zhang
    [J]. International Advances in Economic Research, 2024, 30 : 65 - 82
  • [23] Does liquidity drive stock market returns? The role of investor risk aversion
    Qingjing Zhang
    Taufiq Choudhry
    Jing-Ming Kuo
    Xiaoquan Liu
    [J]. Review of Quantitative Finance and Accounting, 2021, 57 : 929 - 958
  • [24] Does liquidity drive stock market returns? The role of investor risk aversion
    Zhang, Qingjing
    Choudhry, Taufiq
    Kuo, Jing-Ming
    Liu, Xiaoquan
    [J]. REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, 2021, 57 (03) : 929 - 958
  • [25] Investor Sentiment and Market-Wide Liquidity Pricing
    Yaakoubi, Soumaya
    [J]. JOURNAL OF BEHAVIORAL FINANCE, 2024, 25 (02) : 229 - 243
  • [26] Investor sentiment and excess returns-empirical evidences from Taiwan stock market
    Lo, WC
    Lin, KJ
    [J]. Proceedings of the 8th Joint Conference on Information Sciences, Vols 1-3, 2005, : 1130 - 1132
  • [27] Investor Sentiment with Information Shock in the Stock Market
    Yang, Chunpeng
    Wu, Huihui
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2021, 57 (02) : 510 - 524
  • [28] Investor sentiment and stock market return in China
    Wang Zhaohui
    [J]. MODERN FINANCE AND GLOBAL TRADING COOPERATION: PROCEEDINGS OF THE 5TH INTERNATIONAL ANNUAL CONFERENCE ON WTO AND FINANCIAL ENGINEERING, 2008, : 576 - 582
  • [29] Research on Investor Sentiment in the IPO Stock Market
    Liu, Ziyu
    Yang, Han
    Zhang, Weidi
    Hu, Xiaoli
    [J]. PROCEEDINGS OF THE 2016 2ND INTERNATIONAL CONFERENCE ON ECONOMICS, MANAGEMENT ENGINEERING AND EDUCATION TECHNOLOGY (ICEMEET 2016), 2016, 87 : 484 - 489
  • [30] INVESTOR SENTIMENT INDEX IN THE BRAZILIAN STOCK MARKET
    Braga Nogueira, Bruna Thaisa
    Avelino, Bruna Camargos
    Vasconcelos Colares, Ana Carolina
    Assis dos Reis, Daniel Eustaquio
    [J]. REVISTA CONTABILIDADE E CONTROLADORIA-RC C, 2020, 12 (03): : 46 - 71
12345