https://scholars.lib.ntu.edu.tw/handle/123456789/414403
Title: | Investor sentiment and evaporating liquidity during the financial crisis | Authors: | Chiu, Junmao Chung, Huimin KENG-YU HO Wu, Chih Chiang |
Keywords: | Equity liquidity | Financial crisis | Funding constraints | Investor sentiment | Net buying pressure | Issue Date: | 1-May-2018 | Publisher: | ELSEVIER SCIENCE BV | Journal Volume: | 55 | Start page/Pages: | 21 | Source: | International Review of Economics and Finance | Abstract: | © 2018 Elsevier Inc. This study examines how investor sentiment affected equity liquidity and trading behavior during the financial crisis of 2007–2008. Using intraday data on equity index and financial ETFs, we show significant asymmetric response to investor sentiment on quoted spread, market depth, asymmetric depth, and net buying pressure. We also document that funding constraints can further increase the asymmetric impact of investor sentiment on liquidity and trading behavior. Our results can be explained by the psychological bias of negativity and help investors and risk management practitioners comprehensively understand why and how the evaporation of liquidity accelerates during the financial crisis. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414403 | ISSN: | 10590560 | DOI: | https://api.elsevier.com/content/abstract/scopus_id/85041396828 10.1016/j.iref.2018.01.006 |
Appears in Collections: | 財務金融學系 |
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