Browsing by Subject "Investor trading behavior"

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    Economic policy uncertainty and options market participation: hedge or speculation?
    (Elsevier, 2024-04-16) Wang, Chunfeng; Li, Tong; Şensoy, Ahmet; Cheng, Feiyang; Fang, Zhenming
    Using data from the Shanghai Stock Exchange 50 exchange-traded fund (SSE 50 ETF) options, we examine the impact of economic policy uncertainty (EPU) on options market participation. We find that increased EPU significantly induces investor participation in the options market, and this positive effect remains significant over the following three months. Further investigation shows that EPU significantly increases the ratio of trading volume to open interest in SSE 50 ETF options but has no significant impact on the demand for bearish hedging. Moreover, EPU's stimulatory effect on investor participation is stronger during periods of higher investor sentiment. These findings suggest that increased investor participation in the options market during periods of high economic uncertainty is due to speculative trading rather than hedging.
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    Investor attention and cryptocurrency market liquidity: A double-edged sword
    (Springer, 2022-09) Yao, S.; Şensoy, Ahmet; Nguyen, D. K.; Li, T.
    This paper explores the double-edged sword effect of investor attention on market liquidity. Based on the analysis on 597 cryptocurrencies from 2014 to 2020, our findings show that static investor attention improves cryptocurrency market liquidity over the next three months by attracting more investors into the market and stimulating buy and sell transactions. By contrast, abnormal attention persistently and negatively affects the liquidity and leads to excessive net buying pressure in the market and a crowded buyers’ market, resulting in a sharp deterioration of liquidity. Moreover, these effects intensify during low global economic policy uncertainty periods and for cryptocurrencies with small market capitalization and low idiosyncratic volatility. Overall, our results have important implications for investors, portfolio managers, and policymakers.