臺灣博碩士論文加值系統

本論文主要係分析投資者情緒的因果關係，其中包括三個獨立研究，以便對不同規模
和不同地區的投資者之情緒進行研究。由於本益比（P / E）是最受投資大眾喜歡的指標之
一，且提供投資人有關該公司之相對於盈餘之相關資訊，因此本論文之第一篇研究，即探
討投資人的情緒，是否在股票評價過程中產生重要的作用。就理論而言，本益比會使得股
票價值與盈餘之間維持一個均衡的關係（即價值 / 收益）。但從過去的研究中發現，本益
比與公司的未來收益及未來的股票報酬率卻往往呈現負相關之情形。此點暗示著本益比應
包含了一部分非理性的成分在內。由於過去一些學者將此類不正確的評估，歸咎為因預測
的錯誤而導致此結果。本研究則採用固定效果迴歸模型，且以中國A 股股票為樣本，以
探討影響本益比的各項決定性因素。實證結果顯示，中國A 股評價之關鍵因素，主要係
受到投資者情緒的影響，並非由公司成長率之大小加以決定。
本論文中的第二篇研究，則係採用固定效果迴歸模型，探討中國股市投資者情緒是否
會影響企業的股票報酬率。實證結果發現，一個股票市場的投機性越強，越會受到投資者
情緒的影響。為了進一步的探討，本研究特別採用分位數之迴歸模型，針對時間長短，股
利大小，在不同市場均上市，國營或私有企業，企業年資長短以及公司規模的大小等變數，加以分析。本研究發現投資者情緒對於支付股利的企業，規模較大的企業及成立時間較長
的企業，其支持度較高。反之，投資者情緒對於在不同市場均上市的企業和國營企業則出
現顯著性的抗拒。
最後，本論文之第三個研究，係探討投資者情緒及其波動性對於跨市場外溢效果之影
響。本研究採用EGARCH-ARMA 及 ARIMA 模型，且以五個具有相互影響之國家作為樣
本。本研究發現投資者情緒並不會受到股票報酬率的外溢效果之影響。此結果與Chiang
and Chen（2016）之實證結果不同。Chiang and Chen 發現中國市場之股票報酬率與其鄰近
各國的市場報酬率之間呈現高度相關，卻與歐美市場之關聯性較低。但本研究卻發現，中
國投資者的情緒反應與美國投資者之情緒反應間之相關性最強，卻與日本投資者情緒的關
聯性反而最低。因此本研究認為：中國投資者的情緒較會呈現不對稱的波動性。且與其他
國家相比，中國投資者情緒會影響投資人對未來股票價格的看法

In order to analyze the cause-and-effect factors of investor sentiments, this dissertation
comprises of three independent pieces of research, which investigate the investor sentiments on
different scales and perspectives. The first study examines the role of investor sentiments in a stock
valuation process by analyzing one of the most popular indicators of a stock valuation, price-to-earnings
ratio (P/E), which is designed to provide investors with information about a stock price
relative to a firm’s earnings. Theoretically, P/E should keep stock values in equilibrium (value-toearnings),
however, the researchers found that P/E is negatively correlated with future earnings
and future stock returns, implying that the ratio involves irrational component. Previous studies
connect this misevaluation issue with forecasting errors. Using a fixed effects panel regression
with the sample of A-shares on the Chinese stock market, this study analyzes the major
determinants of P/E. The results reveal that investor sentiments rather than the growth rate is the
key factor for the valuation of stocks in China.
The second study applies a panel regression model with fixed effects, analyzes specifics of
investor sentiments and future stock returns of Chinese stock market. The results suggest that the
market is speculative and predisposed to the investor sentiments. To conduct a deeper
investigation, the study employs a quantile regression model to analyze time frames, dividend
payouts, cross-listing effects, government ownership, firm age, and size. The study finds that
susceptibility to investor sentiments is characterized by dividend payers, large, and older firms.
However, cross-listing and government ownership provide significant resistance to the investor
sentiments.
Finally, the third study examines the cross-market spillover effects of investor sentiments and
volatilities. Using EGARCH-ARMA/ARIMA models with the sample of five potentially cross-related
countries, empirical findings reveal that the spillover effect of investor sentiments does not
follow the patterns of stock return spillover effect. Contrary to the Chiang and Chen’s (2016)
finding that the stock returns of Chinese market are mostly correlated with the neighboring markets
and least related with the US and European markets, this research finds that sentiments of Chinese
investors are mostly correlated with those of US investors, while the least connection is shown
with Japanese investors. The outcomes reveal that sentiments of Chinese investors have
asymmetric volatility and in comparison with the other countries, Chinese investors have the most
swings of their moods towards their visions on the stock perspectives.

摘要 ..................................... i
Abstract .................................................................................................................................... iii
Acknowledgements .......................................................................................................................... v
Table of Contents ............................................................................................................................... vi
List of Tables ........................................................................................................................... viii
List of Figures ........................................................................................................................ ix
1. Preface........................................................................................................................................ 1
1.1. Introduction and Motivations ........................................................................................................ 1
1.2. Framework of the research ............................................................................................................ 3
2. Literature review ....................................................................................................................... 5
2.1. Causes and effects of Investor Sentiments .................................................................................... 5
2.2. Measuring Investor Sentiments ..................................................................................................... 6
2.3. Bubbles in China ........................................................................................................................... 9
3. The effect of investor sentiments on the stock valuation. ................................................................... 12
3.1. Introduction ................................................................................................................................. 12
3.2. Related Literature ........................................................................................................................ 13
3.3. Methodology ............................................................................................................................... 14
3.4. Empirical Results ........................................................................................................................ 16
3.4.1. Firms with foreign and government ownership. ................................................................. 20
3.4.2. Industry analysis ................................................................................................................. 23
3.4.3. Determinants of the price-to-earnings ratio ........................................................................ 25
3.5. Section Conclusion ..................................................................................................................... 28
4. Specifics of investor sentiments on Chinese market. .......................................................................... 30
4.1. Introduction ................................................................................................................................. 30
4.2. Related Literature ........................................................................................................................ 30
4.3. Methodology ............................................................................................................................... 31
4.4. Results ................................................................................................................................ 36
4.4.1. Descriptive statistics ........................................................................................................... 36
4.4.2. General sample .................................................................................................................... 39
4.4.3. Quantiles, subsamples and time frames .............................................................................. 43
4.4.4. Effects of dividends ............................................................................................................ 48
4.4.5. Effect of cross-listing .......................................................................................................... 50
4.4.6. Effect of government ownership ......................................................................................... 51
4.4.7. Effect of AGE and SIZE ...................................................................................................... 52
4.5. Section Conclusion ..................................................................................................................... 54
5. The cross-market spillover effect of investor sentiments. .................................................................. 56
5.1. Introduction ................................................................................................................................. 56
5.2. Related Literature ........................................................................................................................ 57
5.3. Data and Methodology ................................................................................................................ 58
5.3.1. The data ............................................................................................................................... 58
5.3.2. Regression model ................................................................................................................ 59
5.4. Results ................................................................................................................................. 61
5.4.1. Descriptive statistics ........................................................................................................... 61
5.4.2. Regression outcomes........................................................................................................... 64
5.5. Section Conclusion ..................................................................................................................... 72
6. General conclusion .............................................................................................................................. 74
6.1. General implications of the research outcomes .......................................................................... 74
6.2. Contribution of the research ........................................................................................................ 75
6.3. Research limitations and recommendations for future studies.................................................... 75
7. References .............................................................................................................................. 77


List of Tables
Table 1. Descriptive statistics ................................................................................................. 18
Table 2. Correlation matrix ..................................................................................................... 19
Table 3. Subsamples divided by cross-listing and government control.................................. 21
Table 4. Cross-industry analysis ............................................................................................. 24
Table 5. Determinants of P/E in China ................................................................................... 27
Table 6. Investor sentiment proxies ........................................................................................ 33
Table 7.Variable definitions.................................................................................................... 35
Table 8. Correlation matrix of control variables ..................................................................... 37
Table 9. Descriptive statistics of all variables except sentiments ........................................... 38
Table 10. Descriptive statistics of investor sentiments proxies and stock returns .................. 38
Table 11. Correlations of investor sentiments proxies ............................................................ 39
Table 12. Aggregate sample and sentiment proxies ............................................................... 42
Table 13. Quantile regression results ...................................................................................... 44
Table 14. Decile coefficients equality test. ............................................................................. 45
Table 15. Quantile regressions over time ............................................................................... 48
Table 16. Dividend payers vs. non-payers .............................................................................. 49
Table 17. Sentiments and Cross-listing .................................................................................. 51
Table 18. Sentiments and Government controlled firms ........................................................ 52
Table 19. Firm Age and SIZE ................................................................................................. 53
Table 20. Descriptive statistics and Correlation matrix .......................................................... 62
Table 21. Descriptive statistics and Correlation matrix .......................................................... 63
Table 22. Summery statistics .................................................................................................. 66
Table 23. Spillover and Leverage effects ............................................................................... 71

List of Figures
Figure 1. Hierarchy of the research process .............................................................................. 3
Figure 2. Methods to measure investor sentiments ................................................................... 6
Figure 3 Cumulative returns for Shanghai and Shenzhen composite indices ......................... 10
Figure 4. Seasonal trends of investors’ sentiments. ................................................................ 35
Figure 5 Deciles of sentiments proxies ................................................................................... 46
Figure 6. CCI and First difference CCI of China.................................................................... 67
Figure 7. CCI and First difference CCI of US ........................................................................ 68
Figure 8. CCI of Aus and GBR ............................................................................................... 69
Figure 9. CCI of Japan and Korea .......................................................................................... 70

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