臺灣博碩士論文加值系統

本文研究台灣股票市場裡，投資人情緒與股價報酬之間的「雙向」關係。利用向量自我迴歸模型（Vector AutoRegression model，簡稱VAR）與VAR-GARCH模型（Vector AutoRegression-Generalized AutoRegression Conditional Heteroskedasticity，簡稱VAR-GARCH），對投資人情緒與股價報酬關係加以探討。並且進一步考量到預期效果，將選取的股價報酬變數與情緒指標變數，區分為預期與非預期兩部份，再以VAR與VAR-GARCH模型進行分析，探討預期效果後的雙方關係。最後，利用變數萃取方法，主成份分析（Principal Component Analysis，簡稱PCA），萃取所選取的情緒變數，期望能找尋出情緒變數中重要的資訊，再以VAR與VAR-GARCH模型試圖釐清投資人情緒與股價報酬之間的關係。
根據實證結果，歸納成以下幾點結論：（1）過去的股價報酬會明顯影響情緒變數。（2）代表小型散戶投資人情緒的「融資金額變動率」變數，與代表整體投資人情緒的「期貨與現貨價格比」變數，受到過去股價報酬的影響最明顯。（3）考量預期效果下，預期變數會受到過去非預期變數的影響；預期股價報酬會受到過去預期情緒變數影響；預期情緒變數普遍會受到過去預期與非預期股價報酬的影響。（4）主成份分析萃取出的新情緒變數，會受到過去股價報酬影響；反之，則不一定。表示投資人情緒的確會受到過去股價報酬影響；但股價報酬卻不會受到投資人情緒影響。

This research uses the VAR model (Vector AutoRegression model) and the VAR-GARCH model (Vector AutoRegression-Generalized AutoRegression Conditional Heteroskedasticity model) to studies the relationship between the proxies of investors sentiment and stock returns in Taiwan stock market. Because of the expect effect we separate the variable into two parts, expected part and unexpected part, and we use the VAR model and the VAR-GARCH model to discuss the relationship. Many of these proxies that we picked contain related information. We employ the Principal Component Analysis as means of extracting composite unobserved sentiment measures try to find the real relationship between investors and stock returns.
The results of this research have four points. First, the sentiment variables are significant affect by the past stock returns. Second, the variable of the individual investors, the variation of finance, is the most significant affect by the past stock returns. The variable of the all investors, the ratio of future value and stock price, is the most significant effect by the past stock returns. Third, in expected effect, the expected variable is effect by the past unexpected variable. The expected stock returns is affect by the expected sentiment variable. The expected sentiment variables are general effect by the expected and the unexpected stock returns. Fourth, the new sentiment proxy that created by the Principal Component Analysis is significant effect by the past stock returns. It’s mean that investor sentiment affected by past stock returns, but stock return didn’t affect by investors sentiment.

中文摘要……………..…………………………………………………….….III
英文摘要……………..………………………………………………………. IV
目 錄………………………………………………………………………….V
表目錄……..…………………………………………………………………. VI
圖目錄…………………………………………………………………………Ⅶ
第壹章 緒論 1
第一節 研究動機與目的 1
第二節 研究內容與步驟 5
第貳章 文獻回顧 7
第一節 行為財務學演進 7
第二節 投資人研究 9
第三節 投資人情緒與投資市場關係 11
第參章 研究方法 14
第一節 資料選取與變數定義 14
第二節 資料檢驗 21
第三節 變數萃取 23
第四節 實證模型 25
第肆章 實證結果與分析…………………………………………………….30
第一節 資料檢驗………………………………………………………….30
第二節 向量自我迴歸模型……………………………………………….32
第三節 VAR-GARCH模型……………………………………………….40
第四節 變數區分為預期與非預期……………………………………….41
第五節 變數萃取………………………………………………………….53
第伍章 結論………………………………………………………………….59
參考文獻 73

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