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| Title: | 台股情緒指標建構及與股市關係
Construction of Sentiment Index and the Relationship between Sentiment Index and TAIEX Return |
| Authors: | 吳佩蓉
Wu, Pei Jung |
| Contributors: | 郭維裕
Kuo, Wei Yu
吳佩蓉
Wu, Pei Jung |
| Keywords: | 行為財務學
情緒指標
台股大盤報酬
Sentiment index
Taiwan stock market return
behavioral finance |
| Date: | 2010 |
| Issue Date: | 2011-10-07 14:12:32 (UTC+8) |
| Abstract: | 本研究最主要的貢獻為建構一具台灣股市投資人情緒指數並檢測投資人情緒指標與台灣股市的關係。本研究以台灣股票市場為背景，研究期間為2001年1月至2010年12月。利用Baker, Wurgler and Yuan在2009年提出的方法以Volatility Premium, Number of IPOs, First Day Return of IPOs, Turnover Rate四個變數編製台灣股市投資人情緒指數，並探討台灣股市投資人情緒指數變動量與台股大盤報酬之間的領先落後關係。
實證結果發現，在較短的時間，如月資料，台股大盤報酬會影響下一期的台灣股市投資人情緒指數變動量，而在較長的時間，如季資料，台灣股市投資人情緒指數變動量會影響四期後的台股大盤報酬，即短期台灣股市投資人情緒指數變動量為大盤報酬之落後指標，長期則為大盤報酬之領先指標，短期原因為投資人情緒指數受大盤報酬影響，而易有追高殺低現象，長期雖投資人情緒領先大盤報酬的結果在統計上顯著，但經濟上並無顯著意義，另一方面，台股大盤報酬與台灣股市投資人情緒指數變動量間存在正相關，即不能以台灣股市投資人情緒指數變動量預測股市泡沫。
The main contribution would be the construction of the sentiment index in Taiwan stock markets and examining the relationship between the variation of the sentiment index and Taiwan stock market returns.
The background is Taiwan stock markets. The sample period is from January 2001 to December 2010. We use the method in Baker, Wurgler and Yuan (2009) to measure investors’ sentiment and explore the relationship between the variation of the sentiment index and Taiwan stock market returns.
The empirical result reveals that in monthly data, Taiwan stock market returns is the leading indicator of the variation of investment sentiment. In a longer term, we mean the quarterly data in this paper, the situation changes. In quarterly data, the variation of the investment sentiment is the leading indicator of the Taiwan stock market returns.
In addition, instead of a negative correlation between the stock market returns and our sentiment index, we prove that our sentiment index have a positive impact on stock market returns. Therefore, we could not use this sentiment index to forecast future economic bubbles. |
| Reference: | Baker, Malcolm and Jeffery Stein, 2004, Market Liquidity as A Sentiment Indicator, Journal of Finance Market 7, 271-299.
Baker, Malcolm, and Jeffery Wurgler, 2006, Investment Sentiment and the Cross-Section of Stock Returns, Journal of Finance 61, 1645-1680.
Baker, Malcolm, and Jeffery Wurgler, 2008, Government Bonds and the Cross-Section of Stock Returns, Working paper, Harvard Business School.
Baker, Wurgler and Yuan, 2009, Global, Local, and Contagious Investor Sentiment, Working paper, Harvard Business School.
Loughran, Tim, Jay R. Ritter, and Kristian Rydkvisft, 1994, Initial Public Offerings: International Insights, Pacific-Basin Finance Journal, 2, 165-199.
Ritter, Jay, 1991, The Long-Run Performance of Initial Public Offering, Journal of Finance 46, 3-27.
Stigler, George J., 1964, Public Regulation of the Securities Markets, Journal of
Business 37, 117-142. |
| Description: | 碩士
國立政治大學
國際經營與貿易研究所
98351019
99 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0098351019 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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