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https://nccur.lib.nccu.edu.tw/handle/140.119/152401
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| Title: | 以技術分析建構投資人情緒整合指標之可行性分析
Feasibility Analysis of Constructing an Integrated Investor Sentiment Indicator Using Technical Analysis |
| Authors: | 王晨妍
Wang, Chen-Yan |
| Contributors: | 郭維裕
王晨妍
Wang, Chen-Yan |
| Keywords: | 行為投資
投資人情緒
技術分析
Behavioral Finance
Investor Sentiment
Technical Analysis |
| Date: | 2024 |
| Issue Date: | 2024-08-05 11:57:40 (UTC+8) |
| Abstract: | 本研究旨在建立一個綜合指標，以捕捉投資人情緒與市場技術分析之間的關聯性，並探討其對股票報酬的影響。本文透過綜合多個技術指標的交易訊號，設計了一個能夠更全面地反映市場情緒和趨勢的指標。然而，實證結果顯示合併方法存在顯著的局限性，並且不如預期。這可能是由於合併過程中消除正負號交易訊號所致。儘管如此，透過修正股票報酬，本文發現綜合指標仍然呈現與股票報酬顯著正向的關聯。這表示了綜合指標在預測股票報酬方面的潛力，同時也提供了改進合併方法和進一步研究的方向。總的來說，本研究為投資者提供了一個更加全面和準確的市場分析工具，以幫助他們在複雜多變的金融市場中做出更明智的投資決策。
This study aims to establish a comprehensive index to capture the relationship between investor sentiment and market technical analysis, and to explore its impact on stock returns. By combining the trading signals of multiple technical indicators, this paper constructs an index that can more comprehensively reflect market sentiment and trends. However, empirical results show significant limitations in the combination method, falling short of expectations. This may be due to the cancellation of positive and negative trading signals during the combination process. Nevertheless, by adjusting stock returns, the study finds that the composite index still exhibits a significant positive correlation with stock returns. This indicates the potential of the composite index in predicting stock returns, while also suggesting directions for improving merging methods and further research. Overall, this study provides investors with a more comprehensive and accurate market analysis tool to assist them in making wiser investment decisions in the complex and volatile financial markets. |
| Reference: | Baker, M., and Wurgler, J., 2006. Investor Sentiment in the Stock Market. Journal of Economic Perspectives 21, 129-151.
Brock W., Lakonishok J., and Lebaron B., 1992. Simple Technical Trading Rules and the Stochastic Properties of Stock Returns. The Journal of Finance, 47(5), 1731-1764.
Boyarchenko, N., Crump, R. K., Kovner, A., and Shachar, O. 2022. Measuring Corporate Bond Market Dislocations. FRB of New York Staff Report 957, Rev. December 2022, 69.
Clewell, D., Faulkner-Macdonagh, C., Giroux, D., Page, S., and Shriver, C. 2018. Macroeconomic Dashboards for Tactical Asset Allocation. Journal of Portfolio Management, Multi-Asset Special Issue 2018, 44(2), 50-61.
Eric, D., Andjelic, G., and Redzepagic, S. 2009. Application of MACD and RVI Indicators as Functions of Investment Strategy Optimization on the Financial Market. Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, 27(1), 171-196.
Han, Y., Yang, K., and Zhou, G. 2010. A New Anomaly: The Cross-Sectional Profitability of Technical Analysis.
Huang, D., Jiang, F., Tu, J., and Zhou, G. 2015. Investor Sentiment Aligned: A Powerful Predictor of Stock Returns. Review of Financial Studies, 28, 791-837.
Liu, Y., Zhou, G., and Zhu, Y. 2021. Maximizing the Sharpe Ratio: A Genetic Programming Approach.
Naved, M., and Srivastava, P. 2015. Profitability of Oscillators Used in Technical Analysis for Financial Market. Advances in Economics and Business Management （AEBM）, 2(9), 925-931.
Park, C.-H., and Irwin, S. H. 2004. The Profitability of Technical Analysis: A Review. AgMAS Project Research Report, No. 2004-04. 106.
Park, C.-H., and Irwin, S. H. 2007. What Do We Know About the Profitability of Technical Analysis? Journal of Economic Surveys, 21(4), 786–826.
Shawn, L. K. J., Hisarli, T., and He, N. S. 2013. The Profitability of a Combined Signal Approach: Bollinger Bands and the ADX. International Federation of Technical Analysts' Journal, 2014 Edition. 7.
Yen, M.-F., and Hsu, Y.-L. 2010. Profitability of Technical Analysis in Financial and Commodity Futures Markets — A Reality Check. Decision Support Systems, 50(1), 128-139.
Zhou, G. 2018. Measuring Investor Sentiment. Annual Review of Financial Economics, Forthcoming, 37. |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
111351033 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111351033 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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