Market sentiment, marketable transactions, and returns

文化大學機構典藏 CCUR > 商學院 > 財務金融學系 > 期刊論文 > Item 987654321/48755

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题名:	Market sentiment, marketable transactions, and returns
作者:	Chang, MTC (Chang, Matthew C.)
贡献者:	財金系
关键词:	Market sentiment transaction aggressiveness order imbalance types of investors
日期:	2020-12-11
上传时间:	2020-10-30 13:50:35 (UTC+8)
摘要:	Using unique data from the Taiwanese stock market, I explore the transaction aggressiveness of mutual funds, foreign institutions, dealers and retail investors during periods of different market sentiment. Retail investors' marketable transaction ratios are positively related to stocks' systematic risk. In contrast, mutual funds and foreign institutions' marketable transaction ratios are negatively related. Although the marketable transaction ratios of all the four types of investors are higher when market sentiment is more fearful, mutual funds' trades on thesellside can mitigate the marketable transaction ratios during market panics. Marketable transaction ratios of the four types of investors have significant impacts on stock prices, both directly and indirectly through the influence on order imbalances.
關聯:	EUROPEAN JOURNAL OF FINANCE 卷冊: 26 期: 18 頁數: 1900-1925
显示于类别:	[財務金融學系 ] 期刊論文

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