Investor Sentiment, Corporate Transparency and Market Returns: Evidence from Taiwan Intraday Data

Wu-Yueh Hu and Heng-Yu Chang

Advances in Management and Applied Economics, 2018, vol. 8, issue 6, 4

Abstract: Investment sentiment has been suggested as one of the factors significantly affecting market returns. However, studies investigating the role which corporate transparency plays between investment sentiment and market returns are still lacking. This study uses the autoregressive model to measure the relationship among investor sentiment, corporate transparency and market returns in different sample spans. By analyzing the intraday data in Taiwan stock market from 2011 to 2013, the findings show that the market returns are more influenced by investor sentiment when firms are with low corporate transparency in contrast to those with high corporate transparency, particularly in the bear market. JEL classification numbers: G00, G1, G3Keywords: Investor sentiment, Corporate transparency, Market returns

Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.scienpress.com/Upload/AMAE%2fVol%208_6_4.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spt:admaec:v:8:y:2018:i:6:f:8_6_4

Access Statistics for this article

More articles in Advances in Management and Applied Economics from SCIENPRESS Ltd
Bibliographic data for series maintained by Eleftherios Spyromitros-Xioufis ().