Advances in Management and Applied Economics

Investor Sentiment, Corporate Transparency and Market Returns: Evidence from Taiwan Intraday Data

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  • Abstract 

    Investment sentiment has been suggested as one of the factors significantly affecting market returns. However, studies investigating the role which corporate transparency plays between investment sentiment and market returns are still lacking. This study uses the autoregressive model to measure the relationship among investor sentiment, corporate transparency and market returns in different sample spans. By analyzing the intraday data in Taiwan stock market from 2011 to 2013, the findings show that the market returns are more influenced by investor sentiment when firms are with low corporate transparency in contrast to those with high corporate transparency, particularly in the bear market.

    JEL classification numbers: G00, G1, G3
    Keywords: Investor sentiment, Corporate transparency, Market returns