政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145920

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/145920

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政大典藏 > College of Commerce > Department of Finance > Theses > Item 140.119/145920

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/145920

Title:	新冠疫情是否放大投資人情緒對台股報酬之影響 Does COVID-19 magnify the impact of investor sentiment on Taiwan stock returns?
Authors:	邱庭鈴 Chiu, Ting-Ling
Contributors:	周冠男 Chou, Kuan-Nan 邱庭鈴 Chiu, Ting-Ling
Keywords:	投資人情緒新冠疫情現狀偏誤損失趨避定錨效應 Investor sentiment COVID-19 Status quo bias Loss aversion Anchoring effect
Date:	2023
Issue Date:	2023-07-06 17:00:07 (UTC+8)
Abstract:	過去許多研究指出，投資人的情緒對股市有著重要的影響。許多因素可以影響投資人的情緒，其中包括新聞報導、選舉事件，以及重大疾病和災難事件。對於過去的突發公共衛生事件而言，一般而言，它們對市場的影響通常是短暫的且有限的。然而，新冠疫情似乎是一個例外情況。儘管新冠疫情對股市的影響似乎讓人感覺歷史重演，但它仍具有其獨特性。因此，本研究旨在探討過去文獻中提及的情緒指標以及COVID-19期間的特殊變數對股市報酬的影響。透過分析過去的文獻和COVID-19期間的特殊變數，我們希望獲得對投資人情緒和股市報酬之間關係的更深入了解。根據我們的實證結果，得出三個主要發現。首先，我們發現過去文獻中提及的常見情緒指標在疫情警戒期間對股市報酬並沒有顯著影響。然而，加入疫情相關資訊後，我們發現新增確診數對股市報酬具有顯著影響。這表明在疫情警戒期間，疫情相關資訊成為影響股市報酬的重要因素，增加的確診數可能引發投資人對疫情擴散和其對經濟影響的擔憂，進而對股市產生影響。第二，投資人情緒在疫情警戒前後是不連續的，在不同的樣本期間模型中皆顯示，在觀察期投資人情緒指標對股市報酬具有顯著影響，但這一效果在估計期就消失了。第三，因為投資人情緒在疫情警戒前後不連續的關係，因此沒有證據證明投資人情緒在頒布警戒後對股市報酬具有放大效果。而我們推論會有這樣的結果是因為投資人具有現狀偏誤與損失趨避的行為，以及受到疫情相關新聞的影響而產生定錨效應。 Many studies in the past have indicated that investor sentiment plays a significant role in the stock market. There are various factors that can influence investor sentiment, including news reports, election events, and disaster events. Regarding past sudden public health crises, their impact on the market is typically temporary and limited. However, the COVID-19 seems to be an exception to this pattern. Therefore, this study aims to investigate the influence of sentiment indicators mentioned in previous literature and specific variables during the COVID-19 period on stock market returns. Based on our empirical results, we have three main findings. Firstly, we found that the commonly mentioned sentiment indicators in previous literature did not have a significant impact on stock market returns during the alert period. However, when adding COVID-19 related information, we discovered that the number of new confirmed cases had a significant influence on stock market returns. This suggests that during the alert period, COVID-19 related information becomes an important factor affecting stock market returns. Secondly, investor sentiment exhibits a discontinuity before and after COVID-19 alert period. In various sample periods of the model, it is evident that sentiment indicators have a significant impact on stock market returns during the observation period. However, this effect diminishes during the estimation period. Thirdly, due to the discontinuity of investor sentiment, there is no evidence to suggest that investor sentiment has an amplifying effect on stock market returns during COVID-19 alert period. We think that this result is due to investors` status quo bias and loss aversion behavior, as well as the anchoring effect induced by COVID-19 related news.
Reference:	周賓凰、張宇志、林美珍(2007)。投資人情緒與股票報酬互動關係。證券市場發展季刊，19(2)，153-190。蔡佩蓉、王元章、張眾卓(2009)。投資人情緒、公司特徵與台灣股票報酬之研究，經濟研究，45(2)，273-322。 Brown, G. W. and Cliff, M. T. (2004). Investor Sentiment and the Near-Term Stock Market. Journal of Empirical Finance, 11, 1-27. Brown, G. W. and Cliff, M. T. (2005). Investor Sentiment and Asset Valuation. Journal of Business, 405-440. Baker, M. and J. Wurgler (2006). Investor Sentiment and the Cross-Section of Stock Returns. Journal of Finance, 61, 1645-1680. Chen, S. (2011). Lack of Consumer Confidence and Stock Returns. Journal of Empirical Finance,18(2),225-236. Samuelson, W. and Zeckhauser, R. (1988). Status Quo Bias in Decision Making. Journal of risk and uncertainty, 1, 7-59. Kahneman, D., Knetsch, J. L., & Thaler, R. H. (1991). The Endowment Effect, Loss Aversion, and Status Quo Bias. Journal of Economic Perspectives, 5, 193-206. Tversky, A., & Kahneman, D. (1974). Judgment Under Uncertainty: Heuristics and Biases: Biases in Judgments Reveal Some Heuristics of Thinking Under Uncertainty. Science, 185(4157), 1124-1131.
Description:	碩士國立政治大學財務管理學系 110357011
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0110357011
Data Type:	thesis
Appears in Collections:	[Department of Finance] Theses

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