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| Title: | 探討台指選擇權波動率指數與財經新聞之關聯性研究—運用內容分析技術
Exploring the Relation between Taiwan Volatility Index and Financial News – A Content Analysis Approach |
| Authors: | 陳鵬仁
Chen, Peng Ren |
| Contributors: | 諶家蘭
Seng, Jia Lang
陳鵬仁
Chen, Peng Ren |
| Keywords: | 恐慌指數
情緒波動
財經新聞
Panic index
Sentiment volatility
Financial news |
| Date: | 2016 |
| Issue Date: | 2016-09-01 23:38:54 (UTC+8) |
| Abstract: | 本研究是針對台灣的財經新聞報導之情緒與TWVIX間的關聯性探討。研究樣本期間主要以2014年1 月至2014年12月為主，其相關之新聞報導資料來源為知識贏家(KMW)資料庫。本研究對財經新聞內容使用文字分析進行解讀其相關之情緒詞組，並依此建立相關之情緒字典，之後透過情緒字典進而擴大判讀更多的財經新聞報導，並研究其財經新聞情緒之波動與TWVIX波動之關聯性。
本研究之主要發現有：當日的財經新聞報導之情緒與當日之TWVIX之波動無顯著關聯；而隨著財經新聞報導之資料累積，其情緒指標對於TWVIX則較有關聯性，但也應避免過度之資料累積，因為有可能反而會形成資料干擾；此外，也發現如果遇到非交易日之財經新聞報導也與之後TWVIX的波動有關聯。而悲觀的新聞情緒指標相對於樂觀的新聞情緒指標，其更具有顯著之關聯性。
本研究嘗試將各變數使用「波動」之形式來作為新的情緒指標之衡量方法，因為投資市場使用各式各樣之波動形式之數字，然而情緒指標似乎沒有；因此，希望藉著「波動」之雙重意義，建立更好的情緒指標，來探討投資市場更多的可能關聯。
The purpose of the present study was to investigate the correlation between the sentiment of Taiwanese financial news reports and the TWVIX. Research samples were collected from the KMW database between January and December 2014. A text analysis was conducted on the contents of the financial news reports to interpret relevant sentiment phrases. These phrases were then used to compile a sentiment dictionary. Thereafter, the dictionary was used to expand interpretations to a larger number of financial news reports in order to determine the correlation between the volatility of news sentiment and that of the TWVIX.
Findings indicated no significant correlation between the financial news sentiment and the TWVIX volatility of the current trading day. The correlation between news sentiment and the TWVIX increased as the cumulative information of financial news reports increased. However, over-accumulation of financial news reports should be prevented to avoid information interference. Findings also indicated a significant correlation between financial news reports in non-trading days and the later volatility of the TWVIX. In addition, the pessimistic news sentiment indicators presented stronger correlation with the TWVIX than the optimistic news sentiment indicators.
This study attempted to use the “volatility” of the various variables as a new measuring method for sentiment indicators. Different investment markets use different types of volatility values. However, few markets use sentiment indicators. Therefore, the present study aspired to use the dual meaning of “volatility” to establish a favorable sentiment indicator, which can then be used to examine the possible correlations of an increased number of investment markets. |
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Whaley, R. E. (2008). Understanding vix. Available at SSRN 1296743. |
| Description: | 碩士
國立政治大學
會計學系
103353118 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103353118 |
| Data Type: | thesis |
| Appears in Collections: | [會計學系] 學位論文
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