第五章 結論與建議
第二節 未來研究建議
本研究實證結果顯示,新聞情緒對投資人下單積極度有一定之影響,且不同 投資人的買、賣方,會受到不同新聞情緒之影響亦不同,不過,本研究僅以鉅亨 網的個股新聞作為研究對象,因此,無法涵蓋網路所有之新聞,建議往後研究可 運用更多不同的新聞網站,以及不同的新聞類型作為研究。
此外,由於本研究資料取得之因素,研究時間僅一年多,建議往後研究能夠 覆蓋至少一輪牛、熊市,藉此探討不同市場情況下,新聞情緒對下單積極度之影 響。
參考文獻
Ahn, H. J., Bae, K. H., & Chan, K. (2001). Limit orders, depth, and volatility: Evidence from the stock exchange of Hong Kong. The Journal of Finance, 56(2), 767-788.
Bae, K. H., Jang, H., & Park, K. S. (2003). Traders’ choice between limit and market orders: evidence from NYSE stocks. Journal of Financial Markets, 6(4), 517-538.
Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2007). Is the aggregate investor reluctant to realise losses? Evidence from Taiwan. European Financial Management, 13(3), 423-447.
Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies, 21(2), 785-818.
Bhattacharya, N., Desai, H., & Venkataraman, K. (2013). Does earnings quality affect information asymmetry? Evidence from trading costs. Contemporary Accounting Research, 30(2), 482-516.
Bian, J., Chan, K., Shi, D., & Zhou, H. (2018). Do behavioral biases affect order aggressiveness?. Review of Finance, 22(3), 1121-1151.
Bollerslev, T., Li, J., & Xue, Y. (2018). Volume, volatility, and public news announcements. The Review of Economic Studies, 85(4), 2005-2041.
Chae, J. (2005). Trading volume, information asymmetry, and timing information. The Journal of Finance, 60(1), 413-442.
Chang, C. C., Hsieh, P. F., & Wang, Y. H. (2010). Information content of options trading volume for future volatility: Evidence from the Taiwan options market. Journal of Banking & Finance, 34(1), 174-183.
Chen, C. N., Chen, C. R., & Huang, Y. S. (2014). Which types of traders and orders
Chiao, C., Lin, T. Y., & Lee, C. F. (2017). The reactions to on-air stock reports: Prices, volume, and order submission behavior. Pacific-Basin Finance Journal, 44, 27-46.
Choe, H., Kho, B. C., & Stulz, R. M. (1999). Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics, 54(2), 227-264.
Chou, R. K., & Wang, Y. Y. (2011). A test of the different implications of the overconfidence and disposition hypotheses. Journal of Banking & finance, 35(8), 2037-2046.
Chung, C. Y., Lee, J., & Park, J. (2014). Are individual investors uninformed? Evidence from trading behaviors by heterogeneous investors around unfaithful corporate disclosure. Asia‐Pacific Journal of Financial Studies, 43(2), 157-182.
Chang, C. C., Hsieh, P. F., & Wang, Y. H. (2010). Information content of options trading volume for future volatility: Evidence from the Taiwan options market. Journal of Banking & Finance, 34(1), 174-183.
Chung, K. H., Van Ness, B. F., & Van Ness, R. A. (1999). Limit orders and the bid–ask spread. Journal of Financial Economics, 53(2), 255-287.
Chuang, Y. W., Lin, Y. F., & Weng, P. S. (2019). Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan. Journal of Futures Markets, 39(3), 279-301.
Dahlquist, M., & Robertsson, G. (2001). Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics, 59(3), 413-440.
Dougal, C., Engelberg, J., Garcia, D., & Parsons, C. A. (2012). Journalists and the stock market. The Review of Financial Studies, 25(3), 639-679.
Duong, H. N., Kalev, P. S., & Krishnamurti, C. (2009). Order aggressiveness of institutional and individual investors. Pacific-Basin Finance Journal, 17(5), 533-546.
Dvořák, T. (2005). Do domestic investors have an information advantage? Evidence from Indonesia. The Journal of Finance, 60(2), 817-839.
Engelberg, J. E., & Parsons, C. A. (2011). The causal impact of media in financial markets. The Journal of Finance, 66(1), 67-97.
Erenburg, G., & Lasser, D. (2009). Electronic limit order book and order submission choice around macroeconomic news. Review of Financial Economics, 18(4), 172-182.
Ferreira, M. A., & Matos, P. (2008). The colors of investors’ money: The role of institutional investors around the world. Journal of Financial Economics, 88(3), 499-533.
Foucault, T. (1999). Order flow composition and trading costs in a dynamic limit order market. Journal of Financial markets, 2(2), 99-134.
Froot, K. A., O’connell, P. G., & Seasholes, M. S. (2001). The portfolio flows of international investors. Journal of Financial Economics, 59(2), 151-193.
Garcia, D. (2013). Sentiment during recessions. The Journal of Finance, 68(3), 1267-1300.
Griffiths, M. D., Smith, B. F., Turnbull, D. A. S., & White, R. W. (2000). The costs and determinants of order aggressiveness. Journal of Financial Economics, 56(1), 65-88.
Handa, P., & Schwartz, R. A. (1996). Limit order trading. The Journal of Finance, 51(5), 1835-1861.
Heston, S. L., & Sinha, N. R. (2017). News vs. sentiment: Predicting stock returns from news stories. Financial Analysts Journal, 73(3), 67-83.
Hong, H., Lim, T., & Stein, J. C. (2000). Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies. The Journal of Finance, 55(1), 265-295.
Huang, R. D., & Shiu, C. Y. (2009). Local effects of foreign ownership in an emerging
Jiambalvo, J., Rajgopal, S., & Venkatachalam, M. (2002). Institutional ownership and the extent to which stock prices reflect future earnings. Contemporary Accounting Research, 19(1), 117-145.
Kang, J. K. (1997). Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics, 46(1), 3-28.
Ko, K., Kim, K., & Cho, S. H. (2007). Characteristics and performance of institutional and foreign investors in Japanese and Korean stock markets. Journal of the Japanese and International Economies, 21(2), 195-213.
Kumar, A., & Lee, C. M. (2006). Retail investor sentiment and return comovements. The Journal of Finance, 61(5), 2451-2486.
Li, W., Rhee, G., & Wang, S. S. (2017). Differences in herding: Individual vs.
institutional investors. Pacific-Basin Finance Journal, 45, 174-185.
Lillo, F., Miccichè, S., Tumminello, M., Piilo, J., & Mantegna, R. N. (2015). How news affects the trading behaviour of different categories of investors in a financial market. Quantitative Finance, 15(2), 213-229.
Lin, C. H., & Shiu, C. Y. (2003). Foreign ownership in the Taiwan stock market—an empirical analysis. Journal of Multinational Financial Management, 13(1), 19-41.
Menkhoff, L., Osler, C. L., & Schmeling, M. (2010). Limit-order submission strategies under asymmetric information. Journal of Banking & Finance, 34(11), 2665-2677.
Moshirian, F., Nguyen, H. G. L., & Pham, P. K. (2012). Overnight public information, order placement, and price discovery during the pre-opening period. Journal of Banking & Finance, 36(10), 2837-2851.
Nofsinger, J. R. (2001). The impact of public information on investors. Journal of Banking & Finance, 25(7), 1339-1366.
Odean, T. (1998). Are investors reluctant to realize their losses?. The Journal of Finance, 53(5), 1775-1798.
Ranaldo, A. (2004). Order aggressiveness in limit order book markets. Journal of Financial Markets, 7(1), 53-74.
Roll, R. (1984). A simple implicit measure of the effective bid‐ask spread in an efficient market. The Journal of Finance, 39(4), 1127-1139.
Richards, A. (2005). Big fish in small ponds: The trading behavior and price impact of foreign investors in Asian emerging equity markets. Journal of Financial and Quantitative Analysis, 1-27.
Sankaraguruswamy, S., Shen, J., & Yamada, T. (2013). The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading. Journal of Banking & Finance, 37(11), 4134-4143.
Schumaker, R. P., Zhang, Y., Huang, C. N., & Chen, H. (2012). Evaluating sentiment in financial news articles. Decision Support Systems, 53(3), 458-464.
Seasholes, M. S. (2004). Re-examining information asymmetries in emerging stock markets. University of California at Berkeley working paper.
Shu, P. G., Yeh, Y. H., Chiu, S. B., & Chen, H. C. (2005). Are Taiwanese individual investors reluctant to realize their losses?. Pacific-Basin Finance Journal, 13(2), 201-223.
Smales, L. A. (2015). Time-variation in the impact of news sentiment. International Review of Financial Analysis, 37, 40-50.
Smales, L. A. (2016). Order aggressiveness of different broker-types in response to monetary policy news. Pacific-Basin Finance Journal, 40, 367-383.
Solomon, D. H., Soltes, E., & Sosyura, D. (2014). Winners in the spotlight: Media coverage of fund holdings as a driver of flows. Journal of Financial Economics, 113(1), 53-72.
Stoll, H. R. (2000). Presidential address: friction. The Journal of Finance, 55(4), 1479-1514.
Tetlock, P. C., Saar‐Tsechansky, M., & Macskassy, S. (2008). More than words:
Quantifying language to measure firms' fundamentals. The Journal of Finance, 63(3), 1437-1467.
Tsai, S. C. (2013). Investors' information advantage and order choices in an order-driven market. Pacific-Basin Finance Journal, 21(1), 932-951.
Walther, B. R. (1997). Investor sophistication and market earnings expectations. Journal of Accounting Research, 35(2), 157-179.
Wu, C. H., & Lin, C. J. (2017). The impact of media coverage on investor trading behavior and stock returns. Pacific-Basin Finance Journal, 43, 151-172.
Yang, W., Lin, D., & Yi, Z. (2017). Impacts of the mass media effect on investor sentiment. Finance Research Letters, 22, 1-4.