到目前為止，國內還未有一個嚴謹的方法來衡量台股市場的風險胃納。在本研究中，我們嘗試研究股票市場和風險胃納指標的關係。我們利用Kumar和Persaud 在2002年所提出的方法建立台股市場的外資、散戶和投信的風險胃納指標，並檢視它們和台股加權指數的報酬率之間的連動關係。
實證結果發現，外資、散戶和投信每日的風險胃納相關程度相當高並且對於台股市場的報酬率有顯著的解釋能力。同時，散戶的風險胃納在解釋每日的台股市場報酬率的係數是最高的。但在每月和每季中，我們發現唯有外資每月的風險胃納對台股市場報酬率有顯著的影響。歸納原因，我們認為在較長的期間外資在台股市場擁有較大的影響力有關。

At present, there is no rigorous method of measuring risk appetite in Taiwan stock market. In this paper, we want to discuss the relationship between equity market and risk appetite index (RAI). Moreover, we create the RAI for foreign investors, retail investors and domestic investors. We use Kumar and Persaud’s method’s concept in 2002 and adjust them to measure the risk appetite in Taiwan equity market and try to examine that does the risk appetite have any explaining powers on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) return.
From our empirical result, we could find that the RAIs of them have very high correlation and the ranges of them also are very close in a day. In addition, the parameters of explanatory variables are very significant in explaining the daily return of TAIEX and the coefficient of retail investors’ RAI is the largest. However, in month and quarter, we find only foreign investors’ monthly risk appetite has impact on monthly TAIEX return. We think that daily outcomes maybe reveal retail investors’ investment ratio in Taiwan stock market was higher in the last ten years. However, the monthly and quarterly results probably reveal that the foreign investment institutions may have a greater effect on Taiwan stock market in the longer period.

一、中文文獻
胡光華（2008），銀行風險胃納之衡量與績效評估，東吳大學經濟研究所博士論文。
二、英文文獻
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Bandopadhyaya, A., Jones, A. L., 2006, “Measuring investor sentiment in equity markets, University of Massachusetts”, Boston.
Fisher, Kenneth L. and Meir Statman (2000), “Investor Sentiment and Stock Returns”, Financial Analysts Journal, Vol. 56, Issue 2, pp. 16-23.
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Gai, P. and N. Vause (2004), “Risk Appetite: Concept and Measurement”, Financial Stability Review, (December), 127-136.
Kumar, Manmohan S. and Avinash Persaud, (2002), “Pure Contagion and Investors’ Shifting Risk Appetite: Analytical Issues and Empirical Evidence”, International Finance, 5:3, 401-436.
Laurence Kang-por Fung, Chi-sang Tam and Ip-wing Yu, (2008), “Changes in investors’ risk appetite- an assessment of financial integration and interdependence”, IFC Bulletin No 31.
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Pericoli, Marcello, and Massimo Sbracia. 2004. “The CAPM andthe Risk Appetite Index: Theoretical Differences and Empirical Similarities?” Mimeo, Bank of Italy.