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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85307


    Title: 市場情緒與股票報酬之研究
    Does Market Sentiment Matter in Taiwan Stock Market?
    Authors: 陳達勳
    Chen, Dar-Shiun
    Contributors: 郭維裕
    陳達勳
    Chen, Dar-Shiun
    Keywords: 股票
    市場情緒
    心理面
    market sentiment
    stock market
    Date: 2001
    Issue Date: 2016-04-18 16:24:36 (UTC+8)
    Abstract: The main purpose of this paper is to investigate the effect (if any) of investor sentiment on asset prices. To calibrate the ability of various market sentiment variables in forecasting stock returns, we followed the recursive regression methodology by Pesaran and Timmermann (1995,2000), taking into account the influences of regime switches on trading decisions of investors in real time. Our results suggest that stock returns may be difficult to predict when stock market is relatively unstable and investors are unsure of which forecasting model to be employed for trading strategies. This finding is not consistent with the empirical results of Pesran and Timmermann (1995). We also find that net buy (sell) of investment trusts and security dealers become in a close relation with stock returns after 1998, implying that institutional investors seem to reasonably capture the sentiment of the market and their trading strategies may reflect information asymmetries between managers and investors.
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    88351007
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001520
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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