In:
Review of Pacific Basin Financial Markets and Policies, World Scientific Pub Co Pte Ltd, Vol. 17, No. 03 ( 2014-09), p. 1450017-
Kurzfassung:
This paper explores how the fearful market-based sentiment indicators affect investor trading behavior and market liquidity. Our results show that a high degree of fearful market-based sentiment induces more sell orders along with a reduction in market liquidity, and vice versa. In addition, most of our findings suggest that the fear sentiment, in the case of extremely high implied volatility, decreases net buying volume more significantly. As for the interaction between fearful market-based sentiment and institutional investor expectation, we show that net buying volume and market liquidity decrease (increase) more significantly than they normally do when the fearful market-based sentiment increases (decreases) in the state of bearish institutional investor expectation. The results provide support to the myopic loss aversion of investors.
Materialart:
Online-Ressource
ISSN:
0219-0915
,
1793-6705
DOI:
10.1142/S0219091514500179
Sprache:
Englisch
Verlag:
World Scientific Pub Co Pte Ltd
Publikationsdatum:
2014
ZDB Id:
2033638-X
SSG:
3,2
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