Investor sentiment and emerging stock market liquidity

Debata, Byomakesh; Dash, Saumya Ranjan; Mahakud, Jitendra

doi:10.1016/j.frl.2017.11.006

Cited by 54 publications

(55 citation statements)

References 38 publications

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“…From the aspect of what affects liquidity on the market, we can find some works on factors such as noise trading [ 18 , 19 , 20 ], investor overconfidence [ 21 ], margin trading and short selling [ 22 , 23 ]. Debata et al [ 24 ] found a positive (negative) effect of investor sentiment on liquidity (illiquidity). Statman et al [ 21 ] showed that investors overconfident about their valuation and trading skills can explain high observed trading volume.…”

Section: Introductionmentioning

confidence: 99%

Impact of Investor Behavior and Stock Market Liquidity: Evidence from China

Zhong

Cai

2019

Entropy

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Investor behavior is one of the important factors that affects market liquidity. It is very interesting to find out how investor behavior affects stock market liquidity. The Investor sentiment changes and information cognitive ability affect not only their expected returns but also market liquidity through short-selling restrained market behavior. This paper gives a comprehensive index of investor sentiment based on the entropy method. According to the empirical analysis based on evidence from China, we obtain the following results: The investor sentiment has a positive impact on market liquidity; the development of margin trading has curbed the positive impact of investor sentiment on market liquidity; the information cognitive ability has a negative impact on market liquidity; the explosive information volume enhances the market liquidity in the bull, weakens the market liquidity in the bear, and has no significant impact while shocked.

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Section: Introductionmentioning

confidence: 99%

Impact of Investor Behavior and Stock Market Liquidity: Evidence from China

Zhong

Cai

2019

Entropy

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“…The turnover ratio is similar to the turnover in volume, which also reflects the overall activity and liquidity of the securities market. The higher the turnover ratio is, the higher the investor sentiment, and the more frequently the market transacts, i.e., people actively buy and sell stocks actively [5]. Many researchers have used turnover ratio to proxy market liquidity, such as Jun, Marathe [28] and Dey [29].…”

Section: Number Of New Stock Accounts (Inr)mentioning

confidence: 99%

“…In recent years, many researchers have devoted themselves in relevant researches. Debata, Dash [5] examine the impact of investor sentiment on the liquidity of 12 emerging stock markets. Han and Li [6] construct a marketbased sentiment index and indicate that sentiment is a reliable momentum predictor with monthly frequency in China.…”

Section: Introductionmentioning

confidence: 99%

A dynamic analysis of the relationship between investor sentiment and stock market realized volatility: Evidence from China

Chen

Zhao

et al. 2020

PLoS ONE

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Investor sentiment is a research focus in behavior finance. This paper chooses five proxy variables according to China’s reality and uses a two-step principal component analysis to construct an investor sentiment index. The five proxy variables are the number of new stock accounts, turnover ratio, margin balance, net active purchasing amount, and investor attention. In the final part of this study, using the price data from the Shanghai and Shenzhen Security Exchange, this paper investigates the dynamic relationship between investor sentiment and stock market realized volatility based on the thermal optimal path. The empirical results show that when the market fluctuates severely, investor sentiment leads stock market realized volatility over one or two steps. The prediction power is also checked. The results indicate that investor sentiment indeed forecasts the realized volatility. This research supports regulators and financial institutions in taking advanced measures.

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“…Existem diversas evidências sobre a relação entre o sentimento do investidor e o mercado de ações (Baker & Wurgler, 2006;Kumar & Lee, 2006;Baker & Wurgler, 2007;Kaniel et al 2008;Yu & Yuan, 2011;Stambaugh et al 2012;Yu, 2013;Liu, 2015;Debata et al 2018). De acordo com estes autores, o sentimento do investidor é crucial para afetar o retorno das ações devido a limites de arbitragem, choque de demanda inesperado, desequilíbrio específico, funções de referência e utilidade em ganho e perda.…”

Section: Revisão De Literaturaunclassified

“…Baker e Wurgler (2006) criaram um dos mais relevantes índices de sentimento do investidor e descobriram que o padrão de previsibilidade do retorno das ações ao sentimento do investidor varia de acordo com algumas características das ações como o tamanho da empresa, a volatilidade e sua idade. Além deste, diversos trabalhos analisaram a relação entre o sentimento do investidor e o mercado de ações (Kumar & Lee, 2006;Baker & Wurgler, 2007;Kaniel, Saar & Titman, 2008;Yu & Yuan, 2011;Stambaugh, Yu & Yuan, 2012;Yu, 2013;Liu, 2015;Debata, Dash & Mahakud, 2018).…”

Section: Introductionunclassified

Como o volume de negociação reage ao sentimento do investidor?

Marschner

Ceretta

2019

Rev. contab. organ.

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A economia comportamental ampliou a forma de entender as negociações no mercado de ações. Investidores com diferentes expectativas de otimismo (ou pessimismo) e confiança tendem a negociar de formas distintas no curto e longo prazo. Além disso, seus vieses comportamentais tendem a ser uma das causas subjacentes da não linearidade e da assimetria existente no mercado de ações, fator que dificulta uma análise precisa dessa relação. Por meio de uma abordagem não linear de atrasos distribuídos autorregressivos assimétricos foram analisadas detalhadamente as conexões não lineares e assimétricas de curto e longo prazo entre o sentimento do investidor e o volume de negociação no mercado americano entre 2004 a 2017. Os resultados, além de confirmarem que os vieses comportamentais influenciam o declínio do volume de negócios, indicam que o volume de negociação reage rapidamente à presença de investidores com menor nível de confiança e que essa relação é profundamente assimétrica no longo prazo. A partir destas evidências é presumível que em momentos de baixa liquidez a confiança dos investidores decline e sua aversão ao risco aumente, e por isso diminuam suas negociações para evitar resultados negativos.

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Investor sentiment and emerging stock market liquidity

Cited by 54 publications

References 38 publications

Impact of Investor Behavior and Stock Market Liquidity: Evidence from China

Impact of Investor Behavior and Stock Market Liquidity: Evidence from China

A dynamic analysis of the relationship between investor sentiment and stock market realized volatility: Evidence from China

Como o volume de negociação reage ao sentimento do investidor?

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