A Study on the Asymmetry of the News Aspect of the Stock Market: Evidence from Three Institutional Investors in the Taiwan Stock Market

Tzu-Yi Yang () and Yu-Tai Yang ()

Panoeconomicus, 2015, vol. 62, issue 3, 361-383

Abstract: This paper uses daily data to investigate the behavior of institutional investors in Taiwan’s stock market. We adopted TGARCH and EGARCH models to test various news. We found that, for the entire sample, a significant clustering phenomenon exists in the investment behavior of three institutional investors, and the impact due to a change of news content shows significant asymmetry and leverage effects. That is, the impact of bad news from the market is stronger than that of good news. In addition, an asymmetric phenomenon can also be seen for the international news aspect as responded to by foreign institutional investors. This phenomenon is more significant than those of the dealers and institutional trust investors. Moreover, the asymmetric phenomenon as responded to by the dealers for domestic news is more significant than those of foreign investors and institutional trust investors. Key words: Market volatility, Financial information and policy announcement, TGARCH, EGARCH.JEL: B25, C22, F33, G01.

Keywords: Market volatility; Financial information and policy announcement; TGARCH; EGARCH (search for similar items in EconPapers)
Date: 2015
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