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台湾东华大学财务金融学系 萧朝兴教授: Investor Attention and Stock Liquidity: Evidence from China

([西财澳门新濠天地会员登录] 发布于 :2019-05-15 )

光华讲坛——社会名流与企业家论坛第5360期


主题:Investor Attention and Stock Liquidity: Evidence from China

主讲人:台湾东华大学财务金融学系 萧朝兴教授

主持人:发展研究院 李丁副教授

时间:2019年5月16日(星期五)上午10:30-12:00

地点:澳门新濠天地娱乐网站_新濠天地娱乐送20彩金_澳门新濠天地会员登录【正宗品牌】柳林校区 格致楼911学术报告厅

主办单位:发展研究院  经济学院  科研处

 

主讲人简介:

萧朝兴,现任台湾东华大学财务金融学系教授、吉林大学商学院、管理学院客座教授、南京理工大学经济管里学院兼职教授。专长领域为财务金融、市场微结构、资产定价。已发表重要著作于 Applied Economics Letter 、International Review of Economics and Finance、 Review of Quantitative Finance and Accounting、 Journal of Financial Research、 Emerging Markets Finance and Trade、 Review of Pacific Basin Financial Markets and Policies等国际期刊。

 

主要内容:

Focusing on China’s stock market from January, 2011 to December, 2017, the purpose of this paper is to analyze the effect of investor attention on liquidity. We find that investor attention measured by the Baidu search volume, has a significantly positive effect on future stock liquidity over periods in the short term. As the horizon extends, the positive relationship weakens and eventually reverses after four weeks. More importantly, the short-term improvement and the following reversal on stock liquidity can be, at least, partly explained by retail investor net-buy behavior. Positive aggregate states and high information uncertainty strength the effect.

 

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