臺灣博碩士論文加值系統

投資人情緒會影響投資人在金融市場的交易行為與投資策略，更進一步影響到資產價格與市場報酬，然而投資人的情緒要如何衡量?又該以什麼做為投資人情緒衡量的指標呢?本研究以台灣市場為例，探討投資人情緒指數的衡量，除了參考Baker and Wurgler (2006)所挑選之情緒代理變數外，還進一步考慮VIX的助益效果。本研究除了欲建構適合台灣市場的情緒指數外，還探討投資人情緒與股票市場報酬之關係，及其對大小公司以及公司流動性高低之股票平均報酬之影響。
Brown(1999)指出若系統風險會影響股市波動，則投資人情緒與股市波動之間應該會存在某種關係。本研究實證發現將選用8檔基金且將VIX視為另一情緒代理變數加入情緒指數的計算中，此情緒指數與股市波動有顯著的關係存在，也就是說，VIX可以間接補足Baker and Wurgler (2006) 情緒指數與股票市場波動在顯著性上的不足。再者，本研究發現最能夠捕捉到投資人情緒與解釋股票市場報酬的方式為，分別獨立考慮情緒指數與VIX指數，換句話說，參考Baker and Wurgler (2006)中的候選變數所建構出來的情緒指標與VIX，這兩個分別表示但須一起考慮的情緒變數，是最適用於解釋台灣股票市場的報酬，也是最能代表台灣股票市場投資人的情緒。

It is known that investor sentiment may affect the trading behavior and investment strategy of stock market investors, furthermore it has influence on the asset prices and market returns. But the question is how to measure investor sentiment? What indicators can catch the spirit of investor sentiment? To investigate this issue, we evaluate investor sentiment according to the approach of Baker and Wurgler (2006) in Taiwan stock market. This research not only tries to construct a representative sentiment index in Taiwan but also examine the relations among investor sentiment, VIX, and stock returns, which include market returns, returns of large or small stocks, and returns of high or low liquidity stocks.
Brown (1999) has shown that if system risk affects the stock market volatility, there should be some kind of relations between investor sentiment and the stock market volatility. The empirical results show that when we examine the market volatility model, we should treat VIX as an independent explained variable when we construct the sentiment index using real property closed-end funds. VIX may indirectly complement the constructed Baker and Wurgler (2006) sentiment index. Moreover, this research finds that investor sentiment and VIX should regard separately. In other words, the constructed indices and VIX have different but important contents of investor sentiment. They should both but independently be considered in the stock market returns model. This is the best way to explain stock market returns and to represent investor sentiment in Taiwan stock market.

第一章、緒論 1
第一節、研究動機與目的 1
第二節、研究架構 3
第二章、文獻探討 5
第一節、投資人情緒變數文獻之探討 5
第二節、臺指選擇權波動率指數(VIX)文獻之探討 8
第三節、總體經濟與股票市場報酬 11
第三章、研究方法 14
第一節、變數資料來源與說明 14
1.1、資料來源與說明 14
1.2、投資人情緒變數 16
1.3、臺指選擇權波動率(VIX) 18
1.4、總體經濟變數 21
第二節、研究方法 21
2.1、主成分分析 (Principal Component Analysis，PCA) 21
2.2、股市波動與投資人情緒 22
2.3、迴歸分析 23
2.3.1、投資人情緒、VIX與股票市場報酬 23
2.3.2、大小公司、公司流動性之股票市場報酬 24
2.3.3、投資人情緒變化與股票市場報酬之探討 26
第四章 實證結果 28
第一節、投資人情緒指數之建構 28
第二節、股市波動變化與情緒指數之實證結果 29
第三節、投資人情緒與股票市場報酬迴歸分析之實證結果 30
4.3.1、迴歸分析 30
一、股票市場報酬 30
二、大小公司之股票平均報酬 32
三、公司流動性之股票平均報酬 33
4.3.2、投資人情緒變化與股票報酬之實證結果 37
第四節、迴歸分析實證結果之統整 42
第五章、結論 44
參考文獻 47
一、中文部份 47
二、英文部份 48
附錄 51

一、中文部份
1. 李春安，羅進水，蘇永裕，2006，「動能策略報酬、投資人情緒與景氣循環之研究」，Journal of Financial Studies，14，pp. 73-109。
2. 羅庚辛，藍宇文，張尚原，2007，「台指選擇權市場最適波動度指標之研究」，
風險管理學報，9，pp. 1-25。
3. 陳達勳，2001，「市場情緒與股票報酬之研究」，國立政治大學國際貿易學系碩士論文。
4. 陳怡靜，2001，「台灣地區總體經濟因素與股票和債券報酬關係之實證研究」，
國立中山大學財務管理系碩士論文。
5. 黃國展，2004，「投資人心理代理變數之探討」，國立中山大學企業管理學系碩士論文。
6. 許銘傑，2002，「市場情緒與基本面對短期股價影響之比較」，國立政治大學國際貿易學系碩士論文。
7. 徐清俊，顏雯津，2008，「情緒指標與股價報酬關係之研究」，明新學報，34，pp.89-106。

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