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Impact of Investor Behavior and Stock Market Liquidity: Evidence from China

School of Statistics and Mathematics, Zhongnan University of Economics and Law, Wuhan 430073, China
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Entropy 2019, 21(11), 1111; https://doi.org/10.3390/e21111111
Received: 2 October 2019 / Revised: 6 November 2019 / Accepted: 11 November 2019 / Published: 13 November 2019
(This article belongs to the Section Multidisciplinary Applications)
Investor behavior is one of the important factors that affects market liquidity. It is very interesting to find out how investor behavior affects stock market liquidity. The Investor sentiment changes and information cognitive ability affect not only their expected returns but also market liquidity through short-selling restrained market behavior. This paper gives a comprehensive index of investor sentiment based on the entropy method. According to the empirical analysis based on evidence from China, we obtain the following results: The investor sentiment has a positive impact on market liquidity; the development of margin trading has curbed the positive impact of investor sentiment on market liquidity; the information cognitive ability has a negative impact on market liquidity; the explosive information volume enhances the market liquidity in the bull, weakens the market liquidity in the bear, and has no significant impact while shocked. View Full-Text
Keywords: investor behavior; market liquidity; margin trading and short selling; entropy-weight method investor behavior; market liquidity; margin trading and short selling; entropy-weight method
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Hu, S.; Zhong, M.; Cai, Y. Impact of Investor Behavior and Stock Market Liquidity: Evidence from China. Entropy 2019, 21, 1111.

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