臺灣博碩士論文加值系統

本文主要目的在探討短期股價之可預測性，合基本面與市場情緒兩者極端之影響變數一起探討對短期股價的影響。基於能更接近投資者實際的決策行為，我們假設在實證過程中，投資者並不會特別偏好某些特定模型，而是隨著資訊不斷地累積，投資者所用來預測股價的模型也不斷地進化。
從實證結果發現，短期股價不僅受到基本面的影響外，市場情緒對短期股價的波動亦具有相當的影響力；同時，在整個實證過程中發現，實證的預測能力不僅深深受到政治上的不確定因素影響，景氣循環的劇烈波動亦會影響整個實證的表現。

This article investigates the forecasting power of market sentiment over the stock return in Taiwan stock market. To study the predictability of the stock return, the “real-time” forecasting model suggested by Pesaran and Timmermann (1995) is used to compute one-step-ahead forecasts of excess stock return in a recursive fashion. We not only evaluate the explanatory power of the fundamental variables but also exploit that of the variables about investor’s psychology in predicting the stock’s excess return. Our empirical result suggests that the indicators of both stream variables are in a close relation with the market excess returns. The forecasting performance would be deeply influenced not only by the political unsettlement but also business cycle.

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