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Investor sentiment and evaporating liquidity during the financial crisis

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  • Chiu, Junmao
  • Chung, Huimin
  • Ho, Keng-Yu
  • Wu, Chih-Chiang

Abstract

This study examines how investor sentiment affected equity liquidity and trading behavior during the financial crisis of 2007–2008. Using intraday data on equity index and financial ETFs, we show significant asymmetric response to investor sentiment on quoted spread, market depth, asymmetric depth, and net buying pressure. We also document that funding constraints can further increase the asymmetric impact of investor sentiment on liquidity and trading behavior. Our results can be explained by the psychological bias of negativity and help investors and risk management practitioners comprehensively understand why and how the evaporation of liquidity accelerates during the financial crisis.

Suggested Citation

  • Chiu, Junmao & Chung, Huimin & Ho, Keng-Yu & Wu, Chih-Chiang, 2018. "Investor sentiment and evaporating liquidity during the financial crisis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 21-36.
    • Handle: RePEc:eee:reveco:v:55:y:2018:i:c:p:21-36
    DOI: 10.1016/j.iref.2018.01.006
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    More about this item

    Keywords

    Investor sentiment; Equity liquidity; Net buying pressure; Financial crisis; Funding constraints;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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