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dc.contributor.author邱敬貿en_US
dc.contributor.authorChiu, Junmaoen_US
dc.contributor.author鍾惠民en_US
dc.contributor.author林建榮en_US
dc.contributor.authorChung, Huiminen_US
dc.contributor.authorLin, Jane-Raungen_US
dc.date.accessioned2014-12-12T01:25:32Z-
dc.date.available2014-12-12T01:25:32Z-
dc.date.issued2011en_US
dc.identifier.urihttp://140.113.39.130/cdrfb3/record/nctu/#GT079531812en_US
dc.identifier.urihttp://hdl.handle.net/11536/41274-
dc.description.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。zh_TW
dc.description.abstractThis 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.en_US
dc.language.isoen_USen_US
dc.subject不對稱投資者情緒zh_TW
dc.subject市場流動性zh_TW
dc.subject報價價差zh_TW
dc.subject市場深度zh_TW
dc.subject不對稱深度zh_TW
dc.subject淨買壓zh_TW
dc.subject次級房貸zh_TW
dc.subject資金限制zh_TW
dc.subject看多情緒zh_TW
dc.subject看空情緒zh_TW
dc.subject恐慌情緒zh_TW
dc.subject市場為基礎投資者情緒zh_TW
dc.subject短視損失趨避zh_TW
dc.subjectAsymmetric sentimenten_US
dc.subjectEquity liquidityen_US
dc.subjectQuoted spreaden_US
dc.subjectMarket depthen_US
dc.subjectAsymmetric depthen_US
dc.subjectNet buying pressureen_US
dc.subjectSubprime crisisen_US
dc.subjectFunding constrainten_US
dc.subjectBullish sentimenten_US
dc.subjectBearish sentimenten_US
dc.subjectFear sentimenten_US
dc.subjectMarket-based sentimenten_US
dc.subjectMyopic loss aversionen_US
dc.title投資人情緒與市場流動性議題之分析zh_TW
dc.titleEssays on Investor Sentiment and Equity Liquidityen_US
dc.typeThesisen_US
dc.contributor.department財務金融研究所zh_TW
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