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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/155500


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/155500


    Title: 個別投資者情緒對台指期報酬率的影響
    The Impact of Individual Investor Sentiment on TX Futures Returns
    Authors: 余柏辰
    Yu, Bo-Chen
    Contributors: 周冠男
    Chou, Robin K.
    余柏辰
    Yu, Bo-Chen
    Keywords: 個人投資者情緒
    外國投資者情緒
    期貨市場
    正、逆價差
    Individual investor sentiment
    Foreign investor sentiment
    Futures market
    Contango and Backwardation
    Date: 2024
    Issue Date: 2025-02-04 16:03:12 (UTC+8)
    Abstract: 本研究強調在理解市場動態時考慮個別投資人行為的重要性，特別像是在台灣這樣擁有高比例個別投資者的市場。研究結果顯示，個別投資者在特定市場條件下的過度自信和悲觀態度可以顯著解釋當期的期貨報酬，此挑戰傳統模型對於理性行為的假設。結果顯示，即使在控制其他因素的情況下，個別投資者情緒對當期台灣指數期貨報酬有著顯著且負面的影響。更值得注意的是，台灣指數期貨呈現正價差時，個別投資者則表現出更明顯的悲觀情緒，他們認為未來價格會下跌的理由僅僅是因為當期的漲幅為正，這與期貨在正價差時，投資人通常對後勢有著樂觀看法的情形不一致。
    This research underscores the importance of considering behavioral factors and sentiment indices in understanding market dynamics, particularly in markets with a high proportion of individual investors like Taiwan. The findings suggest that individual investors' overconfidence and pessimistic outlook during certain market conditions can significantly explain futures returns, challenging traditional models' assumptions of rational behavior. Key findings reveal that individual investor sentiment in the futures market significantly negatively impacts same-day TX futures returns, even when controlling for other factors. Notably, during contango periods, individual investors show pronounced pessimism, expecting declining future prices despite current positive returns.
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    Description: 碩士
    國立政治大學
    財務管理學系
    111357033
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0111357033
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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