The Impact of Short-sale Constraints on the Relationship of Investor Sentiment, Stock Trading Volume and Liquidity： Evidence from 41 Countries
Date Issued
2014
Date
2014
Author(s)
Tsai, Min-Chin
Abstract
This study uses SUR model to examine the relationship between investor sentiment¸ turnover rate and liquidity in the stock markets of 41 countries under the short sale constraints. We divided the countries into two groups by whether short selling is practiced in the stock market. First of all, we found out that the past investor sentiment has positive impact on stock turnover rate¸while past turnover rate does not show specific direction on investor sentiment. Secondly, past stock liquidity has a positive impact on investor sentiment.
Further, we use dummy variable to observe the change for the explanation ability between various variables under bull and bear market. Firstly, we found out that investor sentiment has positive impact on stock turnover rate in the bull market, which is even stronger in countries without short selling. In the same way, turnover rate also has positive impact on investor sentiment in the bull market, which is more obvious in the countries without short selling. Then, we found that liquidity has a negative impact on investor sentiment in bear market. As for the impact of investor sentiment on liquidity, there is a positive result in the bull market and is stronger in the countries with short selling.
Subjects
成交量
流動性
週轉率
投資人情緒
多空頭
Type
thesis
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