投資人情緒與市場流動性議題之分析

Abstract

本研究包含兩篇投資者情緒與市場流動性議題探討之論文。第一篇研究主要探討在次級房貸期間，是否存在投資者情緒不對稱效應影響市場流動性與投資人交易行為。研究結果發現，當市場投資人情緒看空時，會較顯著影響買賣價差、市場深度、不對稱深度和淨買壓。此外，投資人面臨資金限制問題時，確實會顯著影響投資人情緒和市場流動性的關係。第二篇研究探討市場為基礎之投資人恐慌情緒指標，如何影響市場流動性與投資人交易行為。研究結果發現，當市場恐慌情緒愈高時，會驅使投資人賣出股票並進一步降低市場流動性。在極端高的隱含波動率指數之下，會更顯著降低投資人的淨買量。最後我們發現，當機構投資人預期市場處於空頭時期，市場情緒更為恐慌時，會更顯著降低市場流動性與投資人淨買量，此研究結果支持投資人存在短視損失趨避。

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.