A study on the asymmetry of the news aspect of the stock market: Evidence from three institutional investors in the Taiwan stock market
This paper uses daily data to investigate the behavior of institutional investors in Taiwan’s stock market. We adopted TGARCH and EGARCH models to test various news. We found that, for the entire sample, a significant clustering phenomenon exists in the investment behavior of three insti...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2015-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2015/1452-595X1503361Y.pdf |
| _version_ | 1818681413851938816 |
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| author | Yang Tzu-Yi Yang Yu-Tai |
| author_facet | Yang Tzu-Yi Yang Yu-Tai |
| author_sort | Yang Tzu-Yi |
| collection | DOAJ |
| description | This paper uses daily data to investigate the behavior of institutional
investors in Taiwan’s stock market. We adopted TGARCH and EGARCH models to
test various news. We found that, for the entire sample, a significant
clustering phenomenon exists in the investment behavior of three
institutional investors, and the impact due to a change of news content shows
significant asymmetry and leverage effects. That is, the impact of bad news
from the market is stronger than that of good news. In addition, an
asymmetric phenomenon can also be seen for the international news aspect as
responded to by foreign institutional investors. This phenomenon is more
significant than those of the dealers and institutional trust investors.
Moreover, the asymmetric phenomenon as responded to by the dealers for
domestic news is more significant than those of foreign investors and
institutional trust investors. |
| first_indexed | 2024-12-17T10:02:34Z |
| format | Article |
| id | doaj.art-7d48b2ae8caa45e4a42664cd5a2f5b7a |
| institution | Directory Open Access Journal |
| issn | 1452-595X |
| language | English |
| last_indexed | 2024-12-17T10:02:34Z |
| publishDate | 2015-01-01 |
| publisher | Economists' Association of Vojvodina |
| record_format | Article |
| series | Panoeconomicus |
| spelling | doaj.art-7d48b2ae8caa45e4a42664cd5a2f5b7a2022-12-21T21:53:16ZengEconomists' Association of VojvodinaPanoeconomicus1452-595X2015-01-0162336138310.2298/PAN1503361Y1452-595X1503361YA study on the asymmetry of the news aspect of the stock market: Evidence from three institutional investors in the Taiwan stock marketYang Tzu-Yi0Yang Yu-Tai1Ming Chi University of Technology, Department of Business and Management, New Taipei City, TaiwanVanung University, Department of Aeronautical and Opto-Mechatronic Engineering, Zhongli City, TaiwanThis paper uses daily data to investigate the behavior of institutional investors in Taiwan’s stock market. We adopted TGARCH and EGARCH models to test various news. We found that, for the entire sample, a significant clustering phenomenon exists in the investment behavior of three institutional investors, and the impact due to a change of news content shows significant asymmetry and leverage effects. That is, the impact of bad news from the market is stronger than that of good news. In addition, an asymmetric phenomenon can also be seen for the international news aspect as responded to by foreign institutional investors. This phenomenon is more significant than those of the dealers and institutional trust investors. Moreover, the asymmetric phenomenon as responded to by the dealers for domestic news is more significant than those of foreign investors and institutional trust investors.http://www.doiserbia.nb.rs/img/doi/1452-595X/2015/1452-595X1503361Y.pdfmarket volatilityfinancial information and policy announcementTGARCHEGARCH |
| spellingShingle | Yang Tzu-Yi Yang Yu-Tai A study on the asymmetry of the news aspect of the stock market: Evidence from three institutional investors in the Taiwan stock market Panoeconomicus market volatility financial information and policy announcement TGARCH EGARCH |
| title | A study on the asymmetry of the news aspect of the stock market: Evidence from three institutional investors in the Taiwan stock market |
| title_full | A study on the asymmetry of the news aspect of the stock market: Evidence from three institutional investors in the Taiwan stock market |
| title_fullStr | A study on the asymmetry of the news aspect of the stock market: Evidence from three institutional investors in the Taiwan stock market |
| title_full_unstemmed | A study on the asymmetry of the news aspect of the stock market: Evidence from three institutional investors in the Taiwan stock market |
| title_short | A study on the asymmetry of the news aspect of the stock market: Evidence from three institutional investors in the Taiwan stock market |
| title_sort | study on the asymmetry of the news aspect of the stock market evidence from three institutional investors in the taiwan stock market |
| topic | market volatility financial information and policy announcement TGARCH EGARCH |
| url | http://www.doiserbia.nb.rs/img/doi/1452-595X/2015/1452-595X1503361Y.pdf |
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