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The Reactions to On-Air Stock Reports: Prices, Volume, and Order Submission Behavior

In: Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes

Author

Listed:
  • Chaoshin Chiao
  • Tung-Ying Lin
  • Cheng Few Lee

Abstract

The purpose of this chapter is to analyze the real-time responses of stock prices, volume, and order submission behavior across investor groups to 2,894 on-air stock reports from 9:16 a.m. to 1:15 p.m. during regular trading hours from October 11, 2010 to December 31, 2010 in Taiwan. First, positive (negative) reports move stock prices upward (downward) in real time, accompanied by increasing trading volume. However, the observed price movements are short-lived and vanish 14 days afterward. Second, responding to the reports, individual investors trade more actively and aggressively than institutional investors do. The overreaction of individual investors are responsible for the observed price movements.

Suggested Citation

  • Chaoshin Chiao & Tung-Ying Lin & Cheng Few Lee, 2024. "The Reactions to On-Air Stock Reports: Prices, Volume, and Order Submission Behavior," World Scientific Book Chapters, in: Cheng Few Lee & Alice C Lee & John C Lee (ed.), Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, chapter 36, pages 1209-1252, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811269943_0036
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    More about this item

    Keywords

    Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G1 - Financial Economics - - General Financial Markets
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing
    • G3 - Financial Economics - - Corporate Finance and Governance

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