| Summary: | 博士 === 國立交通大學 === 財務金融研究所 === 100 === This study contains two essays on investor sentiment and equity liquidity. The first essay investigates whether an asymmetric sentiment effect exists on equity liquidity and investor trading behavior during the subprime crisis period. Our results show that in the bearish sentiment period, sentiment has a more significant impact on proportional quoted spread, market depth, asymmetric depth, and net buying pressure. We also find that a funding constraint problem plays an important role in the asymmetric sentiment effect on equity liquidity and investor trading behavior. The second essay investigates how the fearful market-based sentiment indicators affect investor trading behavior and equity liquidity. Our results show that a high degree of fearful market-based sentiment induces more sell orders along with a reduction in equity liquidity, and vice versa. The fear sentiment, in the case of extremely high implied volatility, decreases net buying volume more significantly. As for the interaction between fearful market-based sentiment and institutional investor expectation, we show that net buying volume and equity liquidity decrease (increase) more significantly than they normally do when the fearful market-based sentiment increases (decreases) in the state of bearish institutional investor expectation. The results provide support to the myopic loss aversion of investors.
|
|---|
