Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102299 | Pacific-Basin Finance Journal | 2017 | 69 Pages |
Abstract
The purpose of this paper is to analyze the real-time responses of stock prices, volume, and order submission behavior across investor groups to 2894 on-air stock reports from 9:16Â a.m. to 1:15Â p.m. during regular trading hours from 10/11/2010 to 12/31/2010 in Taiwan. First, positive (negative) reports move stock prices upwards (downwards) in real time, accompanied by increasing trading volume. However, the observed price movements are short-lived and vanish 14Â days afterwards. Second, responding to the reports, individual investors trade more actively and aggressively than institutional investors do. The overreaction of individual investors is responsible for the observed price movements.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Chaoshin Chiao, Tung-Ying Lin, Cheng-Few Lee,