Does Optimistic Investor Sentiment Accelerate Taiwan Stock Market Liquidity?

IF 2.6 Q2 ECONOMICS
Wan-Ru Yang, Ming-Che Chuang
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Abstract

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.

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乐观投资者情绪是否加速台湾股市流动性?
本文以Amihud指数为指标,探讨散户及机构投资者的看涨情绪是否会增加台湾股市的流动性。研究发现,乐观的散户投资者情绪增加了市场流动性风险,机构投资者情绪对市场流动性的影响不显著。散户投资者的非理性情绪对台湾市场的流动性也至关重要。散户的看涨情绪使得流动性风险高的股票流动性更差。此外,对于不同流动性水平的投资组合,散户投资者情绪对股票流动性的影响大于机构投资者情绪。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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