Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market

Chen, Rong; Geng, Heng; Lin, Hai; Nguyen, Phuong

doi:10.1016/j.pacfin.2021.101567

Cited by 3 publications

(2 citation statements)

References 55 publications

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“…Given that Chinese people tend to prefer social gambling and have a higher tendency towards gambling addiction compared to people in Western countries, it is not surprising that retail investors generally exhibit a strong preference for lottery-type stocks, and that the gambling motive in investment behavior may be more pronounced among Chinese stock market investors (Han and Li, 2017). Additionally, since short-selling is prohibited for institutional investors in the Chinese stock market, institutional investors face constraints in eliminating mispricing (Han et al, 2020). Therefore, the Chinese stock market is a highly speculative market, providing an ideal testing ground for studying the outcome of investor As an emerging market, China's financial market has been open for several decades, and its stock market has made significant progress.…”

Section: Gambling Preferences In Chinese Stock Marketsmentioning

confidence: 99%

Investor gambling preferences and stock returns: evidence from the Shanghai A-share markets

2023

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PurposeThis study aims to examine the relationship between investor gambling preferences and stock returns, using data for all firms listed in Shanghai A-share market during 2016 and 2021.Design/methodology/approachThis study employs price and trading volume data to capture the behavioral characteristics and gambling preferences of investors. Using the Fama-French three-factor and five-factor models to estimate benchmark returns, this study investigates whether investing in gambling stocks can yield positive excess returns.FindingsThe study reveals that stocks identified as gambling stocks generate high returns in the month they are identified as such but subsequently experience a significant drop in excess returns compared to non-gambling stocks over the following one to six months. These results are found to be consistent across different methods used to classify gambling stocks and across various industry sectors.Research limitations/implicationsThis research provides insights into the risk-return tradeoff of different stock types and the factors that fuel irrational investment behavior. This research underscores the importance of considering the behavioral elements of investment, particularly in emerging markets where individual investors have a significant impact.Practical implicationsThis study advises investors to avoid adopting a gambler or speculative mindset and instead make well-informed and calculated investment decisions that are in line with investors financial objectives and risk appetite. This approach can help create a more stable and sustainable financial market.Originality/valueThis study provides new evidence on the relationship between gambling preferences and future stock returns in financial markets and sheds new light on the important role of irrational factors in investment decisions.

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Section: Gambling Preferences In Chinese Stock Marketsmentioning

confidence: 99%

Investor gambling preferences and stock returns: evidence from the Shanghai A-share markets

2023

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“…An increasing number of studies have been conducted on the impact of the COVID-19 pandemic on a company or stock market. Among them are the relationships between the COVID-19 pandemic and corporate performance (Vo et al , 2021; Zheng, 2021), stock market return (Bissoondoyal-Bheenick et al , 2021; Karamti and Belhassine, 2021; Liu et al , 2021; Mazumder and Saha, 2021; Mazur et al , 2021; Salisu and Akanni, 2020) and stock market liquidity (Chebbi et al , 2021; Chen et al , 2021; Tissaoui et al , 2021). The COVID-19 pandemic substantially impacts firm liquidity in the USA (Chebbi et al , 2021) and Saudi Arabia.…”

Section: Introductionmentioning

confidence: 99%

Fear of the COVID-19 pandemic and IPO aftermarket liquidity in ASEAN-5

Wigantini

Nainggolan

2023

JABS

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Purpose This study aims to examine the relationship between the fear index and initial public offering (IPO) aftermarket liquidity in ASEAN during the bearish time, the COVID-19 pandemic. Design/methodology/approach This study uses random effect panel regression analysis using two proxies of IPO aftermarket liquidity, namely, volume and turnover, on data of 90 IPO companies in the ASEAN-5 countries over four study periods: 30, 60, 90 and 100 days, after their IPOs. Findings The results indicate that the COVID-19 fear index significantly affects liquidity for all periods. The fear index decreases the stock aftermarket liquidity of ASEAN-5 IPO companies. The findings are consistent with additional tests. Originality/value This study initiates research during the COVID-19 pandemic in ASEAN-5 countries. Furthermore, while the other studies examine the stock performance of existing listed companies, this study focuses exclusively on the liquidity of companies that went public through IPOs in 2020.

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The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach

2023

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Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market

Cited by 3 publications

References 55 publications

Investor gambling preferences and stock returns: evidence from the Shanghai A-share markets

Investor gambling preferences and stock returns: evidence from the Shanghai A-share markets

Fear of the COVID-19 pandemic and IPO aftermarket liquidity in ASEAN-5

The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach

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