Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23818
標題: 情緒指標於台灣股票市場的應用
The Application of Sentiment Indicators on Taiwan Stock Market
作者: 林祐如
Lin, You-Ru
關鍵字: 行為財務學
Behavior Finance
投資者情緒指標
主成份分析法
Investor Sentiment Indicators
Principal Component Analysis
出版社: 財務金融系所
引用: 中文文獻 陳正昌、程炳林、陳新豐、劉子鍵,2009,多變量分析方法─統計軟體應用(第五版)。 李春安、類惠貞,2011,正向回饋交易與與股市崩盤,中華管理評論國際學報,第二十卷第八期, 97-126。 薛立言、黃志傑,1996,影響國內股市雜訊交易之因素分析,證券市場發展季刊,8:3,63-88。 徐銘澤,2006,投資人情緒與股價報酬關係,國立嘉義大學管理研究所碩士論文。 張簡佳玲,2010,投資人情緒對股票選擇權市場影響之研究,國立中興大學財務金融研究所碩士論文。 鄭明遠,2007,投資人情緒與股價波動關係之研究,國立台北大學企業管理研究所碩士論文。 英文文獻 Abraham, Abraham and David L. Ikenberry, 1994, The individual investor and the weekend effect, Journal of Financial and Quantitative Analysis, 29, 263-277. Baker, M. and J. C. Stein, 2004, Market Liquidity as a Sentiment Indicator, Journal of Financial Markets, 7, 271-299. Baker, M. and Wurgler J., 2006, Investor sentiment and the cross-section of stock returns, Journal of Finances, 61, 1645-1680. Banz, R. W., 1981, The relationship between return and market value of common stocks, Journal of Financial Economics, 9, 3-18. Black, Fischer, 1986, Noise, Journal of Finance, 41, 529-543. Brown, G. W. and Cliff, M.T., 2004, Investor sentiment and the near-term stock market, Journal of Empirical Finance, 11, 1-27. Campbell, J. Y., 2006, Household Finance, Journal of Finance, 61, 1553-1604. De. B. W. and R. Thaler, 1985, Does the Stock Market Overreact?, Journal of Finance, 40, 795-805. DeLong, J., Shleifer, A., Summers, L., and Waldmann, R., 1990, Noise Trader Risk in Financial Markets, Journal of Political Economy, 98, 703-738. Easley, D. , M. O’Hara and P.S. Srinivas ,1998, Option Volume and Stock Prices: Evidence on Where Informed Traders Trade, Journal of Finance, 53, 431-65. Fama, Eugene F. , 1970, Efficient capital markets:A review of theory and empirical work, Journal of Finance, 25-2, 383-417. Hirshleifer, David and Tyler Shumway, 2003, Good day sunshine:Stock returns and the weather, Journal of Finance, 58, 1009-1032. Jegadeesh, N. and S. Titman, 1993, Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, Journal of Finance, 48, 65-91. Kahneman, Daniel, and Amos Tversky,1979, Prospect theory: An analysis of decision under risk, Econometrica, 47, 263-291. Keim, D. B. , 1983, Size-Related Anomalies and Stock Return Seasonality: Further Empirical Evidence, Journal of Financial Economics, 12, 13-32. Lee, Wayne Y., Christine X. Jiang, and Daniel C. Indro, 2002, Stock market volatility, excess returns, and the role of investor sentiment, Journal of Banking & Finance,2277-2299. Lee, Y. W. and Song, Z., 2003, When do value stocks outperform growth stocks?:Investor sentiment and equity style rotation strategies, Working paper. Neal, Robert, Simon M. Wheatley, 1998, Do measures of investor sentiment predict returns, Journal of Financial and Quantitative Analysis, 33, 523-547. Olsen, R. A., 1998, Behavioral Finance and Its Implication for Stock-Price Volatility, Financial Analysts Journal , 54, 10-18. Reingnanum, M. R., 1981, Misspecification of capital asset pricing:empirical anomalies based on earnings'' yields and market values, Journal of Financial Economics, 9-1,16-46. Saunders, E. M. J., 1993, Stock price and Wall Street weather, The American Economic Review, 83, 1337-1345. Shiller, Robert J., Fumiko Kon-Ya and Yoshiro Tsutsui, 1996, Why did the Nikkei Crash? Expanding the scope of expectations data collection, Review of Economics and Statistics, 78, 156-64. Siegel, J. J., 1992, Equity risk premia, corporate profit forecasts, and investor sentiment around the stock market crash of October 1987, Journal of Business, 65, 557-570. Simon,D., and R. Wiggins, 2001, S&P Futures and Contrary Sentiment Indicators, Journal of Futures Market, 21, 447-462.
摘要: 資本市場上的投資人會根據自身過往的交易經驗進行學習及反省,並根據其投資情緒進行思考後反應於交易行為上,但古典財務理論並未真實考量投資者情緒,而假設市場投資者皆為理性交易者。因此本研究以股票市場上的交易資料來間接衡量投資者情緒,探討投資者情緒對於台灣股票市場報酬的互動關係,並建立模擬交易策略。 研究結果顯示,融資變動率、零股交易比例、賣/買權成交量比率、VIX指數變動率、外資淨買超變動率、自營商淨買超變動率對於台灣股市報酬具有領先關係,ARMS指數、融券變動率、投信淨買超變動率則落後台灣股市大盤報酬。 將以上投資者情緒變數劃分為三大類型,並進一步以主成份分析法抽取出投資者共同情緒,發現衍生性金融市場情緒指標在10天的短期內為看空指標,三大法人情緒指標為看多指標,散戶投資人情緒指標則在3天的極短期內為看多指標。 透過本研究建立之模擬交易策略發現,衍生性金融市場情緒指標與三大法人情緒指標,在極度樂觀或悲觀的情緒時進行買入或放空的報酬率較佳,散戶投資人情緒指標則在其情緒開始轉向樂觀/悲觀的時點進行交易所獲得的報酬率較佳。
The investors in the capital market usually learn and introspect themselves through their past trading experience. Furthermore, investors will reflect their sentiment on trading behaviors. But the classical financial theory doesn''t take the investor sentiment as considerations. In classical financial theory, it is believed that investors are all rational traders. Therefore, this research collects the data of trading information in the stock market, analyzes the interactive relationship between investor sentiment and Taiwan stock market returns, and sets up the simulated trading strategy. The results shows that the change rate of margin, odd-lot ratio, put/call ratio, VIX, the change rate of foreign investor net buy and the change rate of dealer net buy show leading relationship with the future Taiwan stock market returns in Granger causality test, but ARMS, the change rate of short-selling and the change rate of investment trust net buy show lag relationship with the future Taiwan stock market returns. Divide the investor sentiment variables above into three types, and extract investor common sentiment by principal component analysis, we find that derivative financial market sentiment indicator is bearish indicator within 10 days, the professional investors sentiment indicator is bullish indicator, and the individual investors sentiment indicator is bullish indicator within 3 days. By the simulated trading strategy, we can find that making use of the derivative financial market sentiment indicator and professional investors sentiment indicator to buy or short in extreme optimism or pessimism could obtain better rate of return, but making use of the individual investors sentiment indicator obtain better rate of return to buy or short at the sentiment turn to optimism or pessimism.
URI: http://hdl.handle.net/11455/23818
其他識別: U0005-3006201319460600
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-3006201319460600
Appears in Collections:財務金融學系所

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