{"title":"On the Effect of Public Announcements in the Trading Patterns of Investors: Evidence of Taiwan","authors":"Chun-Yi Chao, Hung-Neng Lai","doi":"10.2139/ssrn.1459038","DOIUrl":"https://doi.org/10.2139/ssrn.1459038","url":null,"abstract":"This paper aims to examine the reactions among institutional and individual investors when facing those listed firms' public announcements, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). By employing a trivariate vector autoregressive (VAR) model, we find that institutional investors are informed traders combined with herding behavior. In contrast, individual investors are liquidity providers and also suffer from both overconfidence and disposition effect.","PeriodicalId":180002,"journal":{"name":"Emerging Markets 2","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2009-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127103931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}