Market Reaction to Macroeconomic News: The Role of Investor Sentiment
學年 106
學期 1
出版（發表）日期 2017-11-23
作品名稱 Market Reaction to Macroeconomic News: The Role of Investor Sentiment
作品名稱（其他語言）
著者 Chen Hung-Kun; Lien Chen-Ting
單位
出版者
著錄名稱、卷期、頁數 Asia-Pacific Journal of Financial Studies, 46 (6), 853－875
摘要 This paper demonstrates that risk is unlikely to be the only factor explaining the excess return difference between macroeconomic announcement days and other trading days. We argue that investor sentiment may affect the return on the prescheduled macroeconomic news release. We find that the return on macroeconomic announcement days is much higher than the return on other days, especially when changes in investor sentiment are higher. The impact of investor sentiment on the macroeconomic announcement effect is greater when investor sentiment is higher. Our results remain valid using different investor sentiment measures and testing for heteroscedasticity in stock returns.
關鍵字 Macroeconomic announcements;Investor sentiment
語言 en_US
ISSN 2041-6156
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Chen, Hung-Kun
審稿制度 是
國別 USA
公開徵稿
出版型式 ,電子版,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/112532 )