{"title":"乐观投资者情绪是否加速台湾股市流动性?","authors":"Wan-Ru Yang, Ming-Che Chuang","doi":"10.1007/s10690-024-09476-5","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"32 3","pages":"953 - 974"},"PeriodicalIF":2.6000,"publicationDate":"2024-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Does Optimistic Investor Sentiment Accelerate Taiwan Stock Market Liquidity?\",\"authors\":\"Wan-Ru Yang, Ming-Che Chuang\",\"doi\":\"10.1007/s10690-024-09476-5\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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.</p></div>\",\"PeriodicalId\":54095,\"journal\":{\"name\":\"Asia-Pacific Financial Markets\",\"volume\":\"32 3\",\"pages\":\"953 - 974\"},\"PeriodicalIF\":2.6000,\"publicationDate\":\"2024-06-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asia-Pacific Financial Markets\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://link.springer.com/article/10.1007/s10690-024-09476-5\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://link.springer.com/article/10.1007/s10690-024-09476-5","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
Does Optimistic Investor Sentiment Accelerate Taiwan Stock Market Liquidity?
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.
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