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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/154583


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    题名: 投資人情緒對迷因股報酬率之影響
    The Impact of Investor Sentiment on Returns of Meme Stocks
    作者: 陳昱臻
    Chen, Yu-Jen
    贡献者: 周冠男
    Chou, Robin.K
    陳昱臻
    Chen, Yu-Jen
    关键词: 迷因股
    投資人情緒
    累積異常報酬
    Meme Stocks
    Investor Sentiment
    Cumulative Abnormal Returns
    日期: 2024
    上传时间: 2024-12-02 11:27:21 (UTC+8)
    摘要: 本論文主要探討迷因股之報酬與投資人情緒的關係。我們使用以社群熱度和放空比率為依據編製之Solactive迷因指數作為迷因股報酬代理變數，及VIX和AAII投資人情緒調查結果作為兩種情緒代理變數，探討了投資人情緒對迷因股報酬率的影響。我們的三個假設：（1）投資人情緒與同期迷因股報酬率之間呈正向關係，並與下一期迷因股報酬率呈負向關係（2）與市場報酬相比，迷因股的報酬對投資人情緒的敏感度更高，以及（3）迷因股在其「迷因期間」存在正的異常報酬，但會隨時間逐漸消失。
    通過普通最小平方法（OLS）迴歸和Granger因果關係檢驗，我們的研究結果顯示投資人情緒與同期迷因股報酬之間存在正向且顯著的關係。然而，迷因股對情緒的敏感度並沒有比S&P500指數更高。我們確認情緒不僅會影響未來迷因股的報酬，也會影響未來S&P500指數的報酬，且以情緒的變化作為代理變數時，迷因股更為敏感。此外，我們使用事件研究法的結果顯示，股票被納入「迷因指數」前後都會出現顯著的正累積異常報酬（CARs）。然而，隨著「迷因現象」的消退，這些報酬逐漸下降。
    Our study examines the influence of investor sentiment on the returns of meme stocks. We use the Solactive MEME Index, which is based on social media buzz and short interest ratio, as a proxy variable for meme stock returns, and the VIX and AAII Investor Sentiment Survey results as two sentiment proxy variables. We specifically analyze three hypotheses: (1) a contemporaneous positive relationship between sentiment and meme stock returns and a negative relationship between sentiment and future returns, (2) the greater sensitivity of meme stocks to sentiment than broader market indices, and (3) the presence of abnormal returns for meme stocks during their "meme period," which dissipates afterward.
    Using Ordinary Least Squares (OLS) regression and the Granger-causality tests, the findings reveal a positive and significant contemporaneous relationship between investor sentiment and meme stock returns. However, meme stocks do not demonstrate greater sensitivity to sentiment compared to the S&P 500 Index. We confirm that sentiment can affect the future returns of meme stocks and the S&P 500 Index, with meme stocks being more responsive when changes in the level of sentiment are employed. Furthermore, an event study methodology shows significant positive cumulative abnormal returns (CARs) before and shortly after the inclusion of stocks into the MEME Index. However, these returns gradually decline as the meme phenomenon diminishes.
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    描述: 碩士
    國立政治大學
    財務管理學系
    111357020
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0111357020
    数据类型: thesis
    显示于类别:[財務管理學系] 學位論文

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