COVID-19 市场动荡对投资者行为的影响：伊斯坦布尔证券交易所银行股面板 VAR 研究

IF 2.1 Q2 BUSINESS, FINANCE

International Journal of Financial Studies Pub Date : 2024-02-04 DOI:10.3390/ijfs12010014

Cumhur Ekinci, Oğuz Ersan

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引用次数: 0

摘要

假定投资者可以是外国投资者，也可以是本国投资者；可以进行高频交易（HFT），也可以不进行高频交易；可以通过银行所有的经纪商，也可以通过非银行所有的经纪商提交订单，我们将交易与不同的投资者联系起来。然后，通过建立面板向量自回归模型，我们分析了这些投资者在 COVID-19 市场崩盘前和崩盘期间与收益率以及相互之间的动态关系。结果显示，投资者群体之间相互影响。他们的净购买量也与收益率相互影响。此外，在疫情引发的动荡期间，除了未参与 HFT 的外国投资者外，其他投资者群体（散户/机构投资者、参与 HFT 和未参与 HFT 的国内投资者以及参与 HFT 的外国投资者）的反应都发生了显著变化。这表明投资者群体之间的相互关系是动态的，对市场条件非常敏感。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Impact of the COVID-19 Market Turmoil on Investor Behavior: A Panel VAR Study of Bank Stocks in Borsa Istanbul

Assuming that investors can be foreign or local, do high-frequency trading (HFT) or not, and submit orders through a bank-owned or non-bank-owned broker, we associated trades to various investors. Then, building a panel vector autoregressive model, we analyzed the dynamic relation of these investors with returns and among each other before and during the COVID-19 market crash. Results show that investor groups have influence on each other. Their net purchases also interact with returns. Moreover, during the turmoil caused by the pandemic, except foreign investors not involved in HFT, the response of any investor group (retail/institutional, domestic investors doing HFT and those not doing HFT, and foreign investors doing HFT) significantly altered. This shows that the interrelation among investor groups is dynamic and sensitive to market conditions.

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