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1.
By performing Grey relation analysis, this study elucidates the relationship between investor sentiment and price volatility in the Taiwanese stock market. A sequential relationship is identified between investor sentiment and price volatility, and ranked according to order of importance. Analytical results show that short sales volumes may be an individual leading indicator useful in observing the effects of sentiment on price volatility, followed by open interest put/call ratios and trading volumes, and buy/sell orders. Institutional investors are related, to a lesser extent, to price volatility and sentiment. Qualified foreign institutional investors, or more rational investors, are the least influenced by price volatility, followed by securities investment trust companies and dealers. TAIEX options exert the strongest influence on sentiment during the study period, making them a valuable reference for gauging price volatility. 相似文献
2.
This paper investigates the effects of microstructures and financial reforms on time-varying informational efficiency in an emerging equity market setting. Our data comprises of firm level data from the Trinidad and Tobago Stock Exchange, over the period 1990–2013. Using a dynamic panel regression framework while controlling for firm size, we find that microstructures, specifically liquidity, volatility, automation and the number of shareholders have an important role in influencing the time-varying efficiency of this emerging market. The financial reforms, namely liberalisation and regulation are not found to have a notable influence. We also consider heterogeneity at the firm level, finding that the microstructures of the banking firms listed in this market have a greater impact on market efficiency, in relation to the other listed firms. 相似文献
3.
We examined downside and upside risk spillovers from exchange rates to stock prices and vice versa for a set of emerging economies. We characterized the dependence structure between currency and stock returns using copulas and computed downside and upside value-at-risk and conditional value-at-risk. We documented a positive relationship between stock prices and currency values in emerging economies with respect to the US dollar and the euro, with downside and upside spillover risk effects transmitted both ways. Finally, we also documented asymmetries in upside and downside risk spillovers and asymmetric differences in the size of risk spillovers when the domestic currency values against the US dollar and the euro. Our results, consistent with flight-to-quality phenomena, have implications for downside and upside risk management of international investor portfolios in emerging markets. 相似文献
4.
This research examines the effect of individual and institutional investor sentiment toward the overall market at the time of Initial Public Offering (IPO) on the aftermarket performance of technology IPO shares. The study which is based on 1346 U.S. technology IPOs completed between 1992 and 2009 shows that the irrational component of individual investor sentiment negatively affects shares’ aftermarket performance: the more optimistic individual investors are at the time of IPO, the lower the shares’ aftermarket return. On the other hand, the rational component of institutional investor sentiment does not affect the shares’ short-run performance, yet positively affects their long-run performance. In contrast with prior theoretical models this paper shows that investor overconfidence positively affects technology IPO shares’ aftermarket performance. The paper extends the behavioral finance literature by providing evidence on the negative role played by noise trading in affecting technology and biotechnology IPO shares performance. 相似文献