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
  • [31] The impact of investor sentiment on the German stock market
    Philipp Finter
    Alexandra Niessen-Ruenzi
    Stefan Ruenzi
    [J]. Zeitschrift für Betriebswirtschaft, 2012, 82 (2): : 133 - 163
  • [32] PREDICTIVE ABILITY OF INVESTOR SENTIMENT FOR THE STOCK MARKET
    Kim, Karam
    Ryu, Doojin
    [J]. ROMANIAN JOURNAL OF ECONOMIC FORECASTING, 2020, 23 (04): : 33 - 46
  • [33] Investor Sentiment Contagions and Stock Market Crisis
    Liu Yanping
    Yu Ran
    [J]. PROCEEDINGS OF THE 9TH (2017) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, 2017, : 200 - 205
  • [34] Monetary policy and liquidity: Does investor sentiment matter?
    Debata, Byomakesh
    Dash, Saumya Ranjan
    Mahakud, Jitendra
    [J]. IIMB MANAGEMENT REVIEW, 2021, 33 (03) : 257 - 277
  • [35] Investor sentiment and stock market anomalies in Australia
    Zhang, Xinyue
    Bissoondoyal-Bheenick, Emawtee
    Zhong, Angel
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2023, 86 : 284 - 303
  • [36] THE ROLES OF INVESTOR SENTIMENT IN MALAYSIAN STOCK MARKET
    Tuyon, Jasman
    Ahmad, Zamri
    Matahir, Hylmee
    [J]. ASIAN ACADEMY OF MANAGEMENT JOURNAL OF ACCOUNTING AND FINANCE, 2016, 12 : 43 - 75
  • [37] Investor Sentiment and Stock Market Volatility Decomposition
    Gao Daliang
    Zhang Xiaoyong
    [J]. 2013 INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND MANAGEMENT SCIENCE (ICIEMS 2013), 2013, : 548 - 553
  • [38] Why does stock-market investor sentiment influence corporate investment?
    Du, Ding
    Hu, Ou
    [J]. REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, 2020, 54 (04) : 1221 - 1246
  • [39] Does Investor Sentiment Drive Stock Market Bubbles? Beware of Excessive Optimism!
    Pan, Wei-Fong
    [J]. JOURNAL OF BEHAVIORAL FINANCE, 2020, 21 (01) : 27 - 41
  • [40] Why does stock-market investor sentiment influence corporate investment?
    Ding Du
    Ou Hu
    [J]. Review of Quantitative Finance and Accounting, 2020, 54 : 1221 - 1246
12345