The reactions to on-air stock reports: Prices, volume, and order submission behavior

Chaoshin Chiao, Tung-Ying Lin and Cheng Few Lee

Pacific-Basin Finance Journal, 2017, vol. 44, issue C, 27-46

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 9:16a.m. to 1:15p.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 14days 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.

Keywords: On-air stock reports; Real-time responses; Prices; Volume; Order submission behavior (search for similar items in EconPapers)
JEL-codes: G14 G15 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:44:y:2017:i:c:p:27-46

DOI: 10.1016/j.pacfin.2017.05.004

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