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系統識別號 U0026-0910201315063800
論文名稱(中文) 投資人情緒指標與股市報酬關係之研究
論文名稱(英文) A Study of Correlation between Investor Sentiments and Stock Returns
校院名稱 成功大學
系所名稱(中) 財務金融研究所
系所名稱(英) Graduate Institute of Finance
學年度 102
學期 1
出版年 103
研究生(中文) 朱君峯
研究生(英文) Chun-Feng Chu
學號 R87001032
學位類別 碩士
語文別 中文
論文頁數 55頁
口試委員 指導教授-顏盟峯
口試委員-王澤世
口試委員-劉裕宏
中文關鍵字 投資人情緒  投資人情緒指標  分量迴歸  主成份分析 
英文關鍵字 Investor sentiment  Investor sentiment index  Quantile regression  Principal component analysis 
學科別分類
中文摘要 本研究的主要目的是在探討投資人情緒與股票報酬率之關係,以國內股票上市公司為研究對象,利用分量迴歸分析法來研究在不同股票報酬率時,情緒變數對股票報酬率的影響。根據本研究實證結果發現,若以最小平方法估計結果僅部分情緒變數可以顯著解釋下一期報酬率,若改以分量迴歸估計,我們觀察的結果投資人情緒平均而言對市場的影響不明顯,或影響程度不高。至於投資人情緒對股市報酬影響為何,我們將投資人情緒依主成份分析結果分為「市場周轉指標」、「市場多空情緒指標」、「中小型投資人指標」、「大型投資人指標」、「價差套利指標」五個類別的投資人情緒,我們也因此發現臺灣股票市場投資人情緒常常過度反應,相較之下大型機構投資人較中小型投資人理性。另外,對於不同風險程度(波動度)及基本面(市價淨值比)分組的股票而言,我們從實證結果則發現投資人情緒對高風險股票的影響大過於低風險股票,對價值股的影響大過於成長股。
英文摘要 The main purpose of this study is to investigate the relationship between investor sentiment and stock returns for the listed companies in Taiwan’s tock market. Using the quantile regression approach, we examine the effect of a variety of proxy variables of investors’ sentiment on stock returns. Our empirical results suggest that the sentiment variables can hardly explain the stock returns for the next time period if we employ the traditional ordinary least squares method to estimate the regression. Using the quantile regression does not change our results to a significant extent on average. However, if we use the principal component analysis and transform the eight original sentiment proxy variables to 5 principal components, which are termed as “Market turnover index”, “Market bullish-bear sentiment index”, “Small and medium investors index”, “Large investors indicators,” and “Arbitrage index,” we find that the entire universe of Taiwan stock market investors are overreactive. In particular, small and medium investors are more so then the large institutional investors. In addition, basing on our analysis of the ten decile portfolios according to risk (volatility) and fundamental (price/book ratio), respectively, we find that investors sentiment tends to affect the high-risk stocks to an extent larger than the low-risk stocks. Similarly, investors sentiment tends to affect the value stocks to an extent larger than the growth stocks.
論文目次 致謝 I
摘要 II
Abstract III
目錄 IV
圖目錄 VI
表目錄 VI
第一章 緒論 1
1.1 研究背景 1
1.2 研究動機與目的 3
1.3 研究架構 5
第二章 文獻回顧 8
2.1 投資人情緒指標對股價報酬的影響 8
2.2 投資人情緒指標 9
2.2.1 直接情緒指標 9
2.2.2 間接情緒指標 10
第三章 計量方法與資料說明 12
3.1 資料來源及處理 12
3.1.1 資料來源 12
3.1.2 資料處理 12
3.2 投資人情緒代理變數之定義 14
3.3 研究方法 17
3.3.1 主成份分析 17
3.3.2 分量迴歸 20
第四章 實證結果 26
4.1 投資人情緒指標之相關係數矩陣 26
4.2 主成份分析結果 27
4.3 投資人情緒代理變數及情緒指標之基本統計量 30
4.4 分量迴歸實證結果 32
4.4.1 投資人情緒代理變數及指標對下期市場報酬的影響 32
4.4.2 投資人情緒指標對不同特徵投資組合之下期報酬的影響 39
第五章 結論與建議 49
參考文獻 51

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