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研究生:黃婉婷
研究生(外文):HUANG,WAN-TING
論文名稱:投資人情緒應用於原油、黃金及美元指數期貨動態關聯之研究
論文名稱(外文):The Applications of Investor Sentiment to the Dynamics of Crude Oil, Gold and U.S. Dollar Future
指導教授:王凱立王凱立引用關係
指導教授(外文):WANG,KAI-LI
口試委員:顏盟峯楊踐為張永和
口試委員(外文):YEN,MENG FENGYANG,JIAN WEICHANG,YUNG HO
口試日期:2011-07-23
學位類別:碩士
校院名稱:東海大學
系所名稱:財務金融學系
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:2011
畢業學年度:99
語文別:中文
論文頁數:38
中文關鍵詞:風險值動態條件相關係數GARCH模型投資人情緒避險投機
外文關鍵詞:Value at RiskDynamic Conditional CorrelationMultivariable GARCHInvestors' SentimentHedgingSpeculation
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鑒於投資人情緒對市場報酬與波動存在的潛在影響,本文首度嘗試利用Engle提出的動態條件相關多變量DCC-GJR-GARCH模型來探討投資人情緒對於風險值(Value at risk,VaR)評量績效的影響。四種投資人情緒變數分別為避險、投機、大額交易及前八大機構投資人情緒,檢視不同投資人情緒變數對於估計風險值之影響。實證結果顯示,避險者情緒為市場價格變動的反向指標;投機投資人情緒與市場報酬呈現高度正向連動關係;大額交易投資人情緒部分,原油市場價格變動受到投機投資人情緒影響大於避險投資人情緒;黃金及美元指數市場而言,則是避險投資人情緒影響大於投機投資人情緒。最後,前八大機構投資人情緒對於報酬呈現負向影響,顯示前八大機構投資人主要以避險投資人為主。最後,前八大機構投資人情緒最能正確預估風險值,有利於投資者或市場參與者更有效的控管風險性資產。
In view of investor sentiment on market returns and volatility of the potential impact, this study first attempts to use Engle's Dynamic Conditional Correlation multivariate DCC-GJR-GARCH model to assess the impact of investor sentiment on Value at risk (VaR) performance. Four kinds of investor sentiment variables are hedger, speculator, extreme large trader and the top eight large institutional investors’ sentiment, this study measures different investors sentiment impact of the estimated risk value. The empirical results show that the sentiment of hedger is the contract indicator of the changes of market price. Speculators’ sentiment is highly positive related with market returns. As for the sentiment of extreme large trader, changes in market prices of crude oil are affected more by hedgers than speculators. Speaking of gold and the dollar index market, the hedgers were affected more than speculators. Besides, the sentiments of the top eight institutional investors have negative impact to market return. It shows that top eight institutional investors are mainly hedgers. Finally, sentiments of the top eight institutional investors can correctly estimate the value of risk most, in this way, investors or market participants can control risky assets more effectively.
第一章 前言與文獻回顧 1
第二章 文獻探討 6
第一節 行為財務 6
第二節 投資人情緒 8
第三節 風險值 10
第三章 研究方法 11
第一節 風險值 11
第二節 實證模型設定 16
第四章 資料描述與實證估計 20
第一節 資料描述 20
第二節 實證估計 26
第五章 結論 33
參考文獻 35


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