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| 研究生： |
吳佩蓉 Wu, Pei Jung |
|---|---|
| 論文名稱： |
台股情緒指標建構及與股市關係 Construction of Sentiment Index and the Relationship between Sentiment Index and TAIEX Return |
| 指導教授： |
郭維裕
Kuo, Wei Yu |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 國際經營與貿易學系 Department of International Business |
| 論文出版年： | 2011 |
| 畢業學年度： | 99 |
| 語文別： | 英文 |
| 論文頁數： | 16 |
| 中文關鍵詞： | 行為財務學 、情緒指標 、台股大盤報酬 |
| 外文關鍵詞： | Sentiment index, Taiwan stock market return, behavioral finance |
| 相關次數： | 點閱：320 下載：0 |
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本研究最主要的貢獻為建構一具台灣股市投資人情緒指數並檢測投資人情緒指標與台灣股市的關係。本研究以台灣股票市場為背景，研究期間為2001年1月至2010年12月。利用Baker, Wurgler and Yuan在2009年提出的方法以Volatility Premium, Number of IPOs, First Day Return of IPOs, Turnover Rate四個變數編製台灣股市投資人情緒指數，並探討台灣股市投資人情緒指數變動量與台股大盤報酬之間的領先落後關係。
實證結果發現，在較短的時間，如月資料，台股大盤報酬會影響下一期的台灣股市投資人情緒指數變動量，而在較長的時間，如季資料，台灣股市投資人情緒指數變動量會影響四期後的台股大盤報酬，即短期台灣股市投資人情緒指數變動量為大盤報酬之落後指標，長期則為大盤報酬之領先指標，短期原因為投資人情緒指數受大盤報酬影響，而易有追高殺低現象，長期雖投資人情緒領先大盤報酬的結果在統計上顯著，但經濟上並無顯著意義，另一方面，台股大盤報酬與台灣股市投資人情緒指數變動量間存在正相關，即不能以台灣股市投資人情緒指數變動量預測股市泡沫。
The main contribution would be the construction of the sentiment index in Taiwan stock markets and examining the relationship between the variation of the sentiment index and Taiwan stock market returns.
The background is Taiwan stock markets. The sample period is from January 2001 to December 2010. We use the method in Baker, Wurgler and Yuan (2009) to measure investors’ sentiment and explore the relationship between the variation of the sentiment index and Taiwan stock market returns.
The empirical result reveals that in monthly data, Taiwan stock market returns is the leading indicator of the variation of investment sentiment. In a longer term, we mean the quarterly data in this paper, the situation changes. In quarterly data, the variation of the investment sentiment is the leading indicator of the Taiwan stock market returns.
In addition, instead of a negative correlation between the stock market returns and our sentiment index, we prove that our sentiment index have a positive impact on stock market returns. Therefore, we could not use this sentiment index to forecast future economic bubbles.
Abstract I
Contents IV
List of Tables V
List of Graph VI
Chapter 1 Introduction 1
1. Introduction and Motivation 1
Chapter 2 Literature Review 4
2.1 Sentiment Index 4
Chapter 3 Methodology 5
3.1 Sentiment Index 5
3.2 Principal Component Analysis 6
Chapter 4 Data and Empirical Results 7
4.1 The Pattern of the Sentiment Index 7
4.1.1 Sentiment Index in Monthly Data 7
4.1.2 Sentiment Index in Quarterly Data 9
4.2 Regression and Correlation Analyses 11
4.2.1 The Relationship between Sentiment Index and TAIEX Return (Monthly data) 11
4.2.2 The Relationship between Sentiment Index and TAIEX Return (Quarterly data) 13
Chapter 5 Conclusion 16
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Baker, Malcolm, and Jeffery Wurgler, 2008, Government Bonds and the Cross-Section of Stock Returns, Working paper, Harvard Business School.
Baker, Wurgler and Yuan, 2009, Global, Local, and Contagious Investor Sentiment, Working paper, Harvard Business School.
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