Number Preference, Investor Sentiment and Price Movement
| Autor: | Ting-yi Wu, 吳亭儀 |
|---|---|
| Rok vydání: | 2016 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 104 The purpose of this research is to investigate if any psychological bias regarding to round number heuristics exists in Taiwan equity market, and whether investors governed by number preference suffer extra losses or gain excess returns from their irrationality. I divide investors into three groups－retail, foreign and institution investors to explore this issue from investor level as well. I find that when everyone in the stock market has similar irrational behavior, they might not incur losses, but obtain abnormal returns instead. In this paper, I try to explain the existence of abnormal returns with investor sentiment. Rather than postulating buying or selling directions from yearly Buy-to-Sell Ratio, I employ one more intuitional way to directly observe the investor sentiment variation after seeing stock-price-last-digits reaching particular numbers, which are 1, 6 (just above round number 0, 5) and 9, 4 (just below round number 0, 5). By inspecting the micro-interaction relationship between investor sentiment and future price movement, I provide evidence that some specific price endings do reverse or intensify some investor sentiment. I notice that this distinct change of sentiment may impact intraday investment performance, but only for mega-cap stocks. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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