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Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange

Pi-Hsia Hung

Pacific-Basin Finance Journal, 2016, vol. 39, issue C, 124-140

Abstract: We examine investor sentiment, order submission decisions, and investment performance on the Taiwan Stock Exchange. We first specifically investigate whether investor sentiment affects investors' order aggressiveness and/or order size. Second, we empirically analyze the relation between investor sentiment and order submission strategies across various investor classes. Third and finally, we examine the relation between investor sentiment, order submission decisions, and the short- and long-term investment performance. Our analysis yields the following findings: 1) People's order submission behavior is quite different in optimistic versus pessimistic periods. 2) Buy and sell orders demonstrate different patterns and asymmetric effects. 3) The sensitivity of order submission decisions on investor sentiment is significantly different across different trader classes. 4) Mutual funds, compared with other investors, perform better on the Taiwan Stock Exchange.

Keywords: Investor types; Microstructure; Order aggressiveness; Order size; Sentiment index; Trading behavior (search for similar items in EconPapers)
JEL-codes: D10 G20 G23 (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:eee:pacfin:v:39:y:2016:i:c:p:124-140