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

页数：22

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