احساس سرمایه گذار و نقدینگی بازار سهام در حال ظهور Investor Sentiment and Emerging Stock Market Liquidity

1. Introduction This paper examines the impact of investor sentiment (IS) on emerging stock markets’ (ESMs) liquidity. Stock-market liquidity affects market efficiency, transaction cost, expected return, and overall financial stability (Chordia et al., 2001; 2008). Therefore, understanding factors that influence stock-market liquidity is an important concern. Existing literature documents that macroeconomic variables, stock-exchange trading rules, investor-protection rules, information environment, market micro-structure issues, and firm-specific characteristics are possible sources of variation in liquidity (Brockman et al., 2009; Cumming et al., 2011; Karolyi et al., 2012; Moshirian et al., 2017). However, little attention has been paid to examining the impact of IS on stock-market liquidity. In recent years, sentiment and liquidity relationship has drawn considerable attention due to potential impairment caused by a lack of liquidity during the 2008-2009 financial crisis. Existing literature suggests that investors’ trading behavior based on noise (Baker and Stein, 2004; DeLong et al., 1990; Huberman and Halka, 2001), overconfidence (Statman et al., 2006), and disposition effect (Shefrin and Statman, 1985) can influence sentiment in the market, which subsequently can affect liquidity. Notably, in a recent study, Liu (2015) asserts that positive (negative) IS increases (decreases) market liquidity. Such empirical evidence in the context of ESMs is negligible. Given that liquidity premium is an important feature of ESMs’ return behavior (Bekaert et al., 2007), and investors’ behavior in such markets is arguably different from developed markets (Kim and Nofsinger, 2008), a study on the relationship between IS and liquidity using ESM data can shed more light on this issue.