Private information, overconfidence and intraday trading behaviour: empirical study of the Taiwan stock market

Ho, Chi Ming

doi:10.1080/09603107.2012.720012

Cited by 11 publications

(5 citation statements)

References 42 publications

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“…Our findings are consistent with He and Wang (1995), Darrat et al (2007) and Ho (2013) that the arrival of private information lead to a pattern of increasing volume. They also confirm the theoretical predictions of the models of Daniel et al (1998) and Odean (1998) that investors overreact to their private signals.…”

Section: Resultssupporting

confidence: 93%

“…However, in presence of high level of private information overconfidence seems to explain the excessive volatility in most markets, which is in line with the fact that overconfidence investors overreact to their private information and, consequently, cause excessive volatility. These findings are consistent with Ho (2013) that private information causes an increase in market trading volume followed by an increase in return volatility.…”

Section: Resultssupporting

confidence: 92%

“…Further empirical evidence was given by Chuang and Lee (2006) that the excessive return volatility in the U.S. stock market is mainly due to the presence of overconfident investors. Using an intraday data for Taiwan stock market, Ho (2013) claims that private information causes an increase in market trading volume and then an increase in return volatility. Bertella et al (2020) argue that when there are only fundamentalists in the stock exchange, no excessive trading volume or excessive price volatility are observed; however, in the presence of a small number of chartist agents, an increase in trading volume and an excessive price volatility appear.…”

Section: Literature Reviewmentioning

confidence: 99%

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Implications of the overconfidence bias in presence of private information: Evidence from MENA stock markets

Boussaidi

2020

Int. J Fin Econ

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This paper extends the empirical literature on overconfidence by investigating the implications of this bias on the trading activity and the market volatility for different levels of private information. Using individual data for 10 MENA stock markets, we found a positive unidirectional causal relation from market return to trading volume in most markets, indicating that overconfident investors attribute past market gains to their own talent in selecting securities and trade later as if they had generated these gains. Consistent with the hypothesis of the investors' overreaction to private information, we found that the trading activity becomes more excessive as the level of private information increases. Moreover, the overconfidence helps explain the observed excessive volatility in presence of high level of private information.

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Section: Resultssupporting

confidence: 93%

Section: Resultssupporting

confidence: 92%

Section: Literature Reviewmentioning

confidence: 99%

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Implications of the overconfidence bias in presence of private information: Evidence from MENA stock markets

Boussaidi

2020

Int. J Fin Econ

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“…From the perspective of the innovation diffusion theory, virtual currency transactions are delivered, diffused, or spread among various members in social systems along with time (Ho, 2013;Rogers, 1995;2002). With more transaction channels or volumes, discussions on private information and disturbances to relevant stock prices will increase (Antweiler & Frank, 2004;Ho, 2013;Mai, Shan, Bai, Wang, & Chiang, 2018), stimulating higher levels of fin-tech innovations, such as the markets of the United States, Japan, and China. However, in practice, there are also markets that only conduct fin-tech innovations such as block chain without allowing legal virtual currency transactions, such as Taiwan's market and a minority of countries.…”

Section: Theories and Hypothesesmentioning

confidence: 99%

Does virtual currency development harm financial stocks’ value? Comparing Taiwan and China markets

2020

Economic Research-Ekonomska Istraživanja

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This research incorporated virtual currency development factors into the capital asset pricing model (CAPM) and interpreted the effects of bitcoin and fin-tech on the capital market through a deduction of the portfolio theory and innovation diffusion theory (IDT) on changes to financial stocks' value. This paper examined a total of 67,166 panel data of financial stocks in the two emerging markets of Taiwan and China between July 2016 and April 2019, presenting the following significant findings. (1) Financial stocks in Taiwan's market are more greatly shocked by the bitcoin and interaction effect between bitcoin and fin-tech than those in China's market. (2) Even after changing proxy variable or autocorrelation and heteroskedasticity are considered, the asymmetric shocks on financial stocks in Taiwan's market are still great. (3) The effects of the two variables of bitcoin and interaction with fin-tech on financial stocks are consistently important as the three-factor CAPM model. (4) Transmitted by the changes in currency supply and demand as well as exchange rate volatilities, the spillover effects of virtual currencies and financial innovation indirectly change the currency multiplier of the home country, investors' sensibility to interest rates, and balance of import and export trades and may eventually impact the gross outputs and inflation of individual economies.

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“…People are social animals and establish their own social relationships. Themes of common interest and opportunities to communicate directly cause investors to more readily listen to others' suggestions and trade stocks [7] [18] [19] [20]. However, people have varying degrees of psychological bias, and not all people have the same social relationships.…”

Section: Introductionmentioning

confidence: 99%

The Effects of Social Interaction and Psychological Bias on Trading Behavior: Evidence from a Laboratory Experiment

Ho¹

2018

JMF

Self Cite

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This paper details an experiment designed to explore the trading behaviors of investors that result from psychological biases and social interactions. In total, 88 investors were tracked for 6 months and 40,795 transactions were recorded. The research conducted an experimental survey and estimated a system analysis model to generate several important conclusions. First, the degree of regret bias and the disposition effects are unrelated, probably because the professional training of investors and the disposition effects are not significantly related. Second, if investors are affected by contradictions arising from their decisions, then the likelihood that they will sell a stock will decrease as the investor relationships in the community improve and the regret bias increases. Third, male investors prefer to trade derivatives, and even after controlling for the degree of regret bias, this preference is still significant.

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Private information, overconfidence and intraday trading behaviour: empirical study of the Taiwan stock market

Cited by 11 publications

References 42 publications

Implications of the overconfidence bias in presence of private information: Evidence from MENA stock markets

Implications of the overconfidence bias in presence of private information: Evidence from MENA stock markets

Does virtual currency development harm financial stocks’ value? Comparing Taiwan and China markets

The Effects of Social Interaction and Psychological Bias on Trading Behavior: Evidence from a Laboratory Experiment

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