Investor sentiment and emerging stock market liquidity

被引：45

作者：

Debata, Byomakesh ^{[1
]}

Dash, Saumya Ranjan ^{[2
]}

Mahakud, Jitendra ^{[3
]}

机构：

[1] Indian Inst Technol Kharagpur IIT Kharagpur, Dept Humanities & Social Sci, Kharagpur 721302, W Bengal, India

[2] Indian Inst Management Indore IIM Indore, Finance & Accounting, Rau Pithamptir Rd, Indore 453556, Madhya Pradesh, India

[3] Indian Inst Technol Kharagpur IIT Kharagpur, Dept Humanities & Social Sci, Econ & Finance, Kharagpur 721302, W Bengal, India

来源：

FINANCE RESEARCH LETTERS | 2018年 / 26卷

关键词：

Investor sentiment; Emerging stock market; Liquidity; Behavioral Finance; CROSS-SECTION; RETURNS; SPECIFICATION; ECONOMETRICS; COMMONALITY; FINANCE; PRICES; WORLD;

D O I：

10.1016/j.frl.2017.11.006

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the impact of local and foreign investor sentiment on emerging stock market liquidity. We find a positive (negative) effect of investor sentiment on liquidity (illiquidity). Results also reveal that foreign investor sentiment significantly influences emerging stock market liquidity.

引用

页码：15 / 31

页数：17

共 40 条

[1] Illiquidity and stock returns: cross-section and time-series effects [J].