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| Title: | 投資人情緒對樂透型股票的報酬影響-以台灣市場為例
The influence of Investor sentiment on returns in Lottery stocks-A Taiwanese market perspective |
| Authors: | 張晉豪
ZHANG, JIN-HAO |
| Contributors: | 郭維裕
張晉豪
ZHANG, JIN-HAO |
| Keywords: | 投資人情緒
樂透型股票
主成份分析法
偏最小二乘迴歸法
Investor Sentiment
Lottery-like Stocks
Principal Component Analysis
Partial Least Squares Regression |
| Date: | 2024 |
| Issue Date: | 2024-08-05 11:58:13 (UTC+8) |
| Abstract: | 台灣的股票市場為一淺碟市場，考量到大部份投資人會有不理性的投資決策，因此台灣的股票市場是非常適合拿來進行行為財務學的相關研究，本研究便以台灣市場上所能取得的投資人情緒代理變數作為主要自變數，並將生技醫療股作為樂透型股票的典型例子，分析投資人情緒代理變數是否會影響生技醫療股的報酬，並且過往研究投資人情緒的相關議題，大多是利用主成份分析法(PCA)作為主成份的篩選，再進行相關的迴歸分析，本研究欲利用偏最小二乘迴歸法(PLS)與其進行解釋能力高低的比較。實證結果顯示，偏最小二乘迴歸法(PLS)的解釋能力確實比利用主成份分析法(PCA)更好，並且投資人情緒代理變數裡面的股價上漲家數除以股價下跌家數(ADVDEC)具有最佳顯著的解釋能力，並且與生技醫療股的報酬呈現正相關，次佳的新開戶人數(INR)則是與生技醫療股的報酬率呈現負相關；而在主成份分析法(PCA)裡較具解釋能力的買賣權未平倉比(PCR)是與報酬率呈現正相關，但在偏最小二乘迴歸法(PLS)較無顯著的結果。
綜合兩法之比較所得到的結果，股價上漲家數除以股價下跌家數(ADVDEC)對於解釋生技醫療股的報酬率是最佳的投資人情緒代理變數，且利用PLS法來整合投資人情緒變數確實比利用PCA法更具有解釋能力。
The Taiwan stock market is a shallow market, considering that most investors tend to make irrational investment decisions. Therefore, the Taiwan stock market is highly suitable for behavioral finance research. This study uses investor sentiment proxy variables obtainable from the Taiwan market as the primary independent variables, and takes biotech and healthcare stocks as typical examples of lottery-like stocks. The study analyzes whether investor sentiment proxy variables affect the returns of biotech and healthcare stocks. Previous studies on investor sentiment topics mostly use Principal Component Analysis (PCA) for component selection, followed by related regression analysis. This study aims to compare the explanatory power between Partial Least Squares Regression (PLS) and PCA. The empirical results show that PLS indeed has better explanatory power than PCA. Among the investor sentiment proxy variables, the number of advancing stocks divided by the number of declining stocks (ADVDEC) has the most significant explanatory power and is positively correlated with the returns of biotech and healthcare stocks. The second best, the number of new accounts (INR), is negatively correlated with the returns of biotech and healthcare stocks. The Put-Call Ratio (PCR), which has better explanatory power in PCA, is positively correlated with returns, but does not show significant results in PLS. Combining the results of both methods, ADVDEC is identified as the best investor sentiment proxy variable for explaining the returns of biotech and healthcare stocks, and using PLS to integrate investor sentiment variables indeed has better explanatory power than using PCA. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
111351041 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111351041 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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