Will the Sales Announcements during Non-Trading Period Exaggerate or Diminish the Investor Sentiment?

• Main Authors: Liao, I-Yun, 廖苡妘
• Other Authors: Huang, Chih-Jen
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/34565151717012079465

碩士 === 靜宜大學 === 財務金融學系 === 102 === The purpose of this paper is to study the emotional impact of sales announcements during non-trading period on the investor sentiment on the next trading date and further to investigate whether the length of time between the sales announcement time and the market opening time on the next trading date will result in exaggerating or diminishing sentiment. George and Richard (1980) find that the important news are usually announced by the firms after the stock exchange closes to allow investors to have more time to make rational judgments. Thus, on the next trading day the market will immediately react to the firm announcements made during non-trading period due to the longer time to fully deliver the news. On the contrary, the market will gradually react to the firm announcements made during the trading period. Akyol (2011) shows that the length of a holiday is somewhat related to the stock returns around a holiday. The returns before long holidays are more positive than that before short holidays and less positive after long holidays. However, Huang, Liu, and Fu (2000) find that the daily return volatility is not affected by the firm news announced during holiday or non-holiday period. Given the fact that changes in Taiwan's stock market volatility greatly affect investor sentiment, this study uses OLS method to examine the market reaction to the monthly sales announcements made by 494 Taiwan listed firms during the non-trading period from May 2008 to December 2009. The proxy variables of investor sentiment include the change in the rate of return, change in the transaction volume, change in margin buying ratio, and change in the short selling ratio for individual stocks. The findings of this study show that the longer length of time between the positive sales announcement (good news) time and the market opening time on the next trading date will result in diminishing investor sentiment proxied by the change in margin buying ratios. However, there is no effect on the investment sentiment measured by the rate of return, the change in the transaction volume, and the change in the short selling. The longer length of time between the negative sales (bad news) announcement time and the market opening time on the next trading date will result in diminishing investor sentiment proxied by the change in the transaction volume. However, there is no effect on the investment sentiment measured by the rate of return, the change in the margin buying ratio, and the change in the short selling.