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研究生:陳膺壬
研究生(外文):Ying-ren Chen
論文名稱:無形報酬與投資人情緒關係之研究--以台灣上市公司科技類股為例
論文名稱(外文):A study on intangible return and investors’ sentiment--Take technology stocks of Taiwan listed company for example
指導教授:李春安李春安引用關係
指導教授(外文):Chun-an Li
學位類別:碩士
校院名稱:國立雲林科技大學
系所名稱:財務金融系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:59
中文關鍵詞:無形報酬向量自我迴歸(VAR)投資人情緒
外文關鍵詞:intangible returnvector autoregression(VAR)investors’sentiment
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金融海嘯的威力,讓我們見証到金融界中,許多人認為不可能會發生的事情,如百年老店雷曼兄弟的破產,美國許多金融或產業的巨頭相繼出現財務危機,如花旗、通用、AIG等知名企業。因為信心的破底,使得無論是在美洲的、歐洲的,或者是亞洲的股市均出現無限量的下跌,連帶的使得許多基本面不錯的公司也遭受無望之災。
從以上這許多的事件中,我們可以清楚的發現,投資人的情緒對股市絕對是一個重要的影響關鍵。這也更讓我們想要探究投資人情緒與股票報酬這之間的關連,使投資人可以在投資操作上能有更佳的參考資訊。
本研究以台灣上市公司科技類股為例,因其高權值比重,所以對市場能有高度的敏感性。藉由Daniel and Titman(2006)所提出的無形報酬之概念,來探討無形報酬與投資人情緒間關係之研究,並且找這之關的關係為何,以及如何影響。研究結果發現,市場前期報酬率對無形報酬有正向的影響,而市場週轉率對無形報酬亦有正向的影響。
The power of financial tsunami in the end of 2008 makes us experience many things that people think it is impossible to happen in financial industry. The hundred year old-established investment bank Lehman Brother, for example, goes bankrupt. Many financial industry or another industry in America present financial crisis one after another. Because confidence in this crisis was broken up, wherever the stock market is, all stock market presents illimitable falling. In relation with companies with good fundamentals also suffer from the unexpected calamity.
Based on the inspiration of above events, we fell that investors’ sentiment is a key factor in the stock market.In this study, we want to investigate the relationship between the investors’ sentiment and the stock return in order to make investors can have better reference information when making investment decisions.
Our samples focus on technology stocks of Taiwan listed company, because of its high weight proportion, can therefore have the high sensitivity to the market.We use the concept proposed by Daniel and Titman(2006) to measure the invisible return, and then exam the relationship between invisible return and investors’ sentiment.The empirical results show that the prior market rate of return has a positive influence on the invisible return, and the market turnover rate has a positive influence on the invisible return.
中文摘要.......................................................................i
英文摘要......................................................................ii
誌謝........................................................................iii
目錄......................................................................iv
表目錄.......................................................................v
圖目錄......................................................................vi
第壹章 緒論.................................................................1
第一節 研究背景與動機.......................................................1
第二節 研究目的.............................................................3
第三節 研究架構與流程.......................................................4
第貳章 文獻討探.............................................................5
第一節 無形報酬.............................................................5
第二節 投資人情緒指標.......................................................6
第三節 無形報酬與投資人情緒之關聯..........................................11
第參章 研究方法............................................................12
第一節 研究期間與資料來源..................................................12
第二節 變數定義............................................................13
第三節 研究計量方法........................................................16
第肆章 實證結果與分析......................................................23
第一節 單根檢定............................................................23
第二節 向量自我迴歸........................................................25
第三節 因果關係檢定........................................................27
第四節 衝擊反應函數分析....................................................32
第五節 預測誤差變異分解....................................................43
第伍章 研究結論與建........................................................53
第一節 研究結論............................................................53
第二節 研究建議與限制......................................................57
參考文獻.....................................................................58
中文部份
1.古金尚(2003),「台灣股票市場投資人心理情緒影響因素之實證研究」,朝陽科技大學財務金融系碩士論文。
2.周賓凰、張宇志、林美珍(2007),「投資人情緒與股票報酬互動關係」,證券市場發展季刊,第14卷,第2期,153-190。
英文部分
1.Baker, M. and J. C. Stein,(2004), “Market liquidity as a sentiment indicator,�紃ournal of Financial Economics 73, pp. 271-299.
2.Baker, M. and J. Wurgler, (2000), “The equity share in new issues and aggregate stock returns, �紃ournal of Finance 55, pp. 2219-2257.
3.Baker, M. and J. Wurgler ,(2006),“Investor sentiment and the cross-section of stock returns,�紃ournal of Finance 61, pp. 1645-1680.
4.Baker, M. and J. Wurgler ,(2007),“Investor sentiment in the stock market,�紃ournal of Economic Perspectives 21,(2), pp. 129-151.
5.Barkham, J. and C. R. Ward,(1999),“Investor sentiment and noise traders: Discount to net asset value in listed property companies in the U.K.,�紃ournal of Real Estate Research 18, pp. 291-312.
6.Brown, W. and M. Cliff,(2004),“Investor sentiment and the near-term stock market,�紃ournal of Empirical Finance 11, pp. 1-27.
7.Campbell, Y., S. Grossman and J. Wang,(1994),“Trading volume and serial correlation in stock returns,�耇uarterly Journal of Economics 108, pp. 905-939.
8.Conrad, J., A. Hameed and C. Niden,(1994),“Volume and autocovariances in shorthorizon individual security returns,�紃ournal of Finance 49, pp. 1305-1330.
9.Daniel, Kent D., and Sheridan Titman ,(2006),“Market reactions to tangible and intangible information�紃ournal of Finance 61, pp. 1606-1643.
10.De Bondt, W. F. M.,(1993) , ”Betting on trends:Intuitive forecasts of financial risk and return”, International Journal of Forecasting 9, pp. 355-371.
11.Fisher, L. and M. Statman,(2000),“Investor sentiment and stock returns,�� Financial Analysts Journal 56, pp. 16-23.
12.Gervais, S., R. Kaniel and D. Mingelgrin,(2001),“The high-volume return premium,�紃ournal of Finance 56, pp. 877-919.
13.Ibbotson R.B., Sindelar, J.L., Ritter, J. (1994), "The market''s problems with the pricing of initial public offerings", Journal of Applied Corporate Finance 1, pp.66-74.
14.Kumar, A. and C. Lee,(2006),“Retail investor sentiment and return comovements,�紃ournal of Finance 61, pp. 2451-2486.
15.Lee, C., A. Shleifer and R. Thaler,(1991),“Investor sentiment and the closed-end fund puzzle,�紃ournal of Finance 46, pp. 75-109.
16.Lee, Y., C. Jiang, and D. Indro,(2002),“Stock market volatility, excess returns, and the role of investor sentiment,�紃ournal of Banking & Finance, pp. 2277-2299.
17.Neal, R. and S. Wheatley,(1998),“Do measures of investor sentiment predict returns,�紃ournal of Financial and Quantitative Analysis 33, pp. 523-547.
18.Qiu, L. and I. Welch, (2005), “Investment sentiment measures,��, NBER Working Paper Series.
19.Shiller, R.,(1984),“Stock prices and social dynamics,�笀rookings Papers on Economic Activity 2, pp. 457-498.
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