https://scholars.lib.ntu.edu.tw/handle/123456789/414403
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chiu, Junmao | en_US |
dc.contributor.author | Chung, Huimin | en_US |
dc.contributor.author | KENG-YU HO | en_US |
dc.contributor.author | Wu, Chih Chiang | en_US |
dc.creator | Wu, Chih Chiang;KENG-YU HO;Chung, Huimin;Chiu, Junmao | - |
dc.date.accessioned | 2019-07-22T06:27:49Z | - |
dc.date.available | 2019-07-22T06:27:49Z | - |
dc.date.issued | 2018-05-01 | - |
dc.identifier.issn | 10590560 | - |
dc.identifier.uri | https://scholars.lib.ntu.edu.tw/handle/123456789/414403 | - |
dc.description.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. | en_US |
dc.publisher | ELSEVIER SCIENCE BV | en_US |
dc.relation.ispartof | International Review of Economics and Finance | en_US |
dc.subject | Equity liquidity | Financial crisis | Funding constraints | Investor sentiment | Net buying pressure | en_US |
dc.title | Investor sentiment and evaporating liquidity during the financial crisis | en_US |
dc.type | journal article | en |
dc.identifier.doi | https://api.elsevier.com/content/abstract/scopus_id/85041396828 | - |
dc.identifier.doi | 10.1016/j.iref.2018.01.006 | - |
dc.identifier.scopus | 2-s2.0-85041396828 | - |
dc.identifier.isi | WOS:000430520000002 | - |
dc.identifier.url | https://api.elsevier.com/content/abstract/scopus_id/85041396828 | - |
dc.relation.pages | 21 | en_US |
dc.relation.journalvolume | 55 | en_US |
dc.relation.pageend | 36 | en_US |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.openairetype | journal article | - |
item.grantfulltext | none | - |
item.cerifentitytype | Publications | - |
item.fulltext | no fulltext | - |
crisitem.author.dept | Finance | - |
crisitem.author.dept | Center for Research in Econometric Theory and Applications (CRETA) | - |
crisitem.author.parentorg | College of Management | - |
crisitem.author.parentorg | Others: University-Level Research Centers | - |
Appears in Collections: | 財務金融學系 |
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