The effect of attention on buying behavior during a financial crisis: Evidence from the Taiwan stock exchange

Yu, Hsin-Yi; Hsieh, Shu‐Fan

doi:10.1016/j.irfa.2010.08.002

Cited by 21 publications

(15 citation statements)

References 27 publications

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“…After adjusting positions for the overnight information, the forecasting performance reaches its peak position around noon and remains high until the end of the trading day. The results are consistent with the prior finding (Yu and Hsieh, ) that trading behavior of investors is less emotional during a financial crisis period.…”

Section: Global Financial Crisissupporting

confidence: 92%

“…The trading behavior of investors during a crisis period has attracted a significant amount of attention (Ben-David et al, 2012;Chiang and Zheng, 2010;Yu and Hsieh, 2010). The information content of the VIX during a crisis period is particularly important (Bates, 2012;Hilal et al, 2011) because it provides valuable information to hedge extreme risk and allows us to better understand market sentiment and behavior.…”

Section: Introductionmentioning

confidence: 99%

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The Information Content of Intraday Implied Volatility for Volatility Forecasting

Wang

2015

Journal of Forecasting

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This study examines the intraday S&P 500 implied volatility index (VIX) to determine when the index contains the most information for volatility forecasting. The findings indicate that, in general, VIX levels around noon are most informative for predicting realized volatility. We posit that the VIX performs better during this time period because trading motivation around noon is less complex, and therefore trades contain more information on the market expectation of future volatility. Further investigation on the 2008 financial crisis period suggests that market participants become more cautious, and thus the forecasting performance is sustained until the market's close. Copyright © 2015 John Wiley & Sons, Ltd.

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Section: Global Financial Crisissupporting

confidence: 92%

Section: Introductionmentioning

confidence: 99%

The Information Content of Intraday Implied Volatility for Volatility Forecasting

Wang

2015

Journal of Forecasting

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“…A few notable exceptions include (i) Hoffman et al (2010) who sampled a large number of individual investor clients of a major online broker in The Netherlands; (ii) Korniotis and Kumar (2011) who examined the end-of-month portfolio holdings and trades of a sample of individual investors at a large U.S. brokerage house to uncover the influence of cognitive aging on the investment decision-making process; (iii) Yu and Hsieh (2010) who investigated attention-driven trading behaviour of different groups of investors in the Taiwanese stock exchange which includes individual investors; (iv) Seasholes and Zhu (2010) who scrutinized the local bias effect in stock picking using transactions-based, calendar-time portfolios for a sample of individual investors in the US; (v) Goo et al (2010) who investigated the disposition effect displayed by individual investors in the Taiwanese stock market; (vi) Dorn and Huberman (2005; who investigated a range of psychological tendencies (e.g. risk aversion) for individual investors in a German brokerage; (vii) Ng and Wu (2006) Of all the recent studies on individual investor attributes outlined above, only four are carried out in developing capital market settings (Yu and Hsieh, 2010;Goo et al, 2010;Sultana, 2010;Ng and Wu, 2006). Similarly, only a select few have (i) collected data from individual investors directly instead of relying on portfolio simulations or broad trading statistics and (ii) looked at initial investment motivations as well as a range of investment related stylistic preferences or/and practices (e.g.…”

Section: Literature Reviewmentioning

confidence: 99%

Psychological Tendencies in an Emerging Capital Market: A Study of Individual Investors in India

Pandit¹,

Yeoh²

2014

jda

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Recent findings in the finance and consumer behaviour literature have shown that investors' investment decisions are likely to be affected by their psychological tendencies. The focus of this paper is to understand how investors' psychological tendencies influence purchase postponement of shares. Furthermore, the moderating effects of product involvement on the relationship between psychological tendencies and also purchase postponement are examined. Using a survey research design, data was collected from Indian investors to empirically test the model using moderated regression analysis. Our findings show that investor's psychological tendencies do significantly impact purchase postponement. Furthermore, a profile of Indian retail investors is presented in the paper. Our findings documents another distinct phenomenon of investors' persistent departures from rationality as posited by behavioural finance and also provides a better understanding of the nature of individual investor participation in the Indian capital market.JEL Classifications: O19, F15, B28

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“…Seasholes and Wu (2007) consider that when a stock reaches its limit up, investors would pay more attention to it, hence limit up can be a good proxy of investor attention. Similarly, Yu and Hsieh (2010) think extreme return to be a good proxy of investor attention. Loh (2010) takes turnover rate as an investor attention proxy and concludes that high attention induces high information efficiency.…”

Section: Introductionmentioning

confidence: 99%

Investor Attention, Market Liquidity and Stock Return: A New Perspective

Wang

Long

Wei

2018

Asian Economic and Financial Review

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Article History JEL Classification:G10; G14.We propose a new method to measure the investor attention paid to a specific industry using search data from search engine. Instead of taking company names or stock codes as keywords, we select keywords from a corpus of texts concerning a given industry by text-analysis technique such as TextRank algorithm. Two indices were constructed by principal component analysis method, including a positive index and a negative index. The empirical analysis demonstrates that the influence of investor attention on market liquidity is coincident and significant, and the effect on industry stock index return is less significant. Contribution/ Originality: The paper's primary contribution is finding that investor attention have both positive and negative effect on stock market, and the influence of investor attention on market liquidity is coincident and significant, but that on industry stock index return is less significant.

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The effect of attention on buying behavior during a financial crisis: Evidence from the Taiwan stock exchange

Cited by 21 publications

References 27 publications

The Information Content of Intraday Implied Volatility for Volatility Forecasting

The Information Content of Intraday Implied Volatility for Volatility Forecasting

Psychological Tendencies in an Emerging Capital Market: A Study of Individual Investors in India

Investor Attention, Market Liquidity and Stock Return: A New Perspective

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