کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7355411 1477787 2018 49 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Investor sentiment and evaporating liquidity during the financial crisis
ترجمه فارسی عنوان
احساسات سرمایه گذاران و نقدینگی تبخیر شده در طول بحران مالی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study examines how investor sentiment affected equity liquidity and trading behavior during the financial crisis of 2007-2008. Using intraday data on equity index and financial ETFs, we show significant asymmetric response to investor sentiment on quoted spread, market depth, asymmetric depth, and net buying pressure. We also document that funding constraints can further increase the asymmetric impact of investor sentiment on liquidity and trading behavior. Our results can be explained by the psychological bias of negativity and help investors and risk management practitioners comprehensively understand why and how the evaporation of liquidity accelerates during the financial crisis.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 55, May 2018, Pages 21-36
نویسندگان
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