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系統識別號 U0026-1109201403232000
論文名稱(中文) 台灣證券交易所「收盤前資訊揭露」對投資人情緒、市場報酬與波動度之關聯性研究
論文名稱(英文) Examine the effect of TWSE “pre-close information disclosure” on the relation among investor sentiment, market return and volatility
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 2
出版年 103
研究生(中文) 許堯禎
研究生(英文) Yao-Chen Hsu
學號 R86001186
學位類別 碩士
語文別 英文
論文頁數 46頁
口試委員 指導教授-顏盟峯
口試委員-王凱立
口試委員-曾翊恆
中文關鍵字 收盤前資訊揭露  投資人情緒  不對稱動態條件相關係數 
英文關鍵字 Pre-close information disclosure  investor sentiment  ADCC 
學科別分類
中文摘要 台灣證券交易所自2012年2月20日即啟動「收盤前資訊揭露及其配套措施」,期望借助適度資訊揭露措施以提升市場透明度。然而,「收盤前資訊揭露及其配套措施」新制施行前後,台灣上市股票市場投資人情緒與市場報酬的關係是否改變?正是本文想要探討的主題。本文的分析結果期望可以給政策制定者擬定政策的參考。本研究擬以組成分分析建構情緒因子,針對台灣50成份股的尾盤時段,在不對稱動態條件相關係數-雙變量GARCH的模型架構下,同時探究股市報酬及投資者情緒隨時間改變的雙向動態關係。
研究期間由2011年11月21日至2012年5月31日,本文發現在日資料部分, 投資組合的報酬將顯著預測投資人情緒,顯示出投資人藉著新市場機制所釋放出的新資訊做出投資決策。而在日內資料部分,投資人情緒對投資組合報酬有顯著的正相關,顯示持續買進效果存在。同時,當期投資組合與投資人情緒的波動度顯著受到前一期正向波動影響,表示GARCH效果存在。此外,在跨市場波動傳導部分,未被預期到的高波動情緒變動將顯著影響投資組合報酬的波動,而未被預期到的高波動報酬變動會帶來高波動的情緒。
英文摘要 To reinforce market information disclosure and elevate market transparency during the closing session, Taiwan Stock Exchange (TWSE) launches a pre-close information disclosure policy from February 20, 2012. However, whether policy implementation change the relationship between investor sentiment and market return is our main topic to discuss. We hope the empirical result can provide policy maker a reference. First, our study applies the principal component analysis to construct the sentiment proxy and focuses on the component stocks of FTSE TSEC Taiwan 50 Index during the closing session. Under the asymmetric dynamic conditional correlation (ADCC-GARCH) structure, our study examines time-varying interrelationship between portfolio return and investors sentiment.
The research period covers from November, 21, 2011 to May, 31, 2012. In daily analysis, portfolio return has a significant predictive power to investor sentiment. It indicates investors can make trading decision based on new information released from the market. In intraday analysis, the effect of investor sentiment on portfolio return is significantly positive, showing existing hold-more effect. Meanwhile, volatilities of return and sentiment are significantly positive affected by variability of previous trading day, showing GARCH effect exists. Besides, unanticipated high sentiment variation is followed by volatile return, whereas great variability of unexpected return change induces high sentiment volatility.
論文目次 Chapter 1 Introduction 1
1.1 Research Backgrounds and Motivations 1
1.2 Research Objective 6
1.3 Research Contribution 6
1.4 Research Framework 7
Chapter 2 Literature Review 8
2.1 Relevant Sentiment Measures 8
2.2 Sentiment-Return Relation 10
2.3 Information Disclosure during the Closing Session 12
Chapter 3 Methodology and Model Specification 14
3.1 Principal Component Analysis (PCA) 14
3.2 The Dynamic Conditional Correlation (DCC) Model 15
3.3 Asymmetric Dynamic Conditional Correlation (ADCC) Model 18
3.4 Empirical Models 19
Chapter 4 Empirical Results 24
4.1 Data 24
4.2 Variable Definitions 26
4.3 Principal Component Analysis 29
4.5 Summary Statistics 33
4.6 The Empirical Findings 35
4.6.1 OLS Estimation 35
4.6.2 ADCC GARCH Estimation 37
4.6.2.1 Impacts of Investor Sentiment on Portfolio Returns 37
4.6.2.2 Impacts of Portfolio Returns on Investor Sentiment 38
4.6.2.3 Volatility Spillover between Returns and Sentiment 38
Chapter 5 Conclusion 41
Chapter 6 Reference 43
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