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研究生:蔡芳芸
研究生(外文):Tsai,Fangyun
論文名稱:投資人情緒對台股指數報酬率的影響
論文名稱(外文):Impact of Investor Sentiment on Returns of Taiwan Stock Indices
指導教授:劉曦敏劉曦敏引用關係
指導教授(外文):Liu, Shi-Miin
口試委員:陳孝琪鄭漢亮
口試委員(外文):Chen, Hsiao-Chi
口試日期:2012-06-22
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2012
畢業學年度:100
語文別:中文
論文頁數:66
中文關鍵詞:投資人情緒向量自我迴歸
外文關鍵詞:investor sentimentVAR
相關次數:
  • 被引用被引用:2
  • 點閱點閱:469
  • 評分評分:
  • 下載下載:113
  • 收藏至我的研究室書目清單書目收藏:0
本研究旨在觀察投資人情緒對台灣股價指數報酬率的影響,所選用的情緒代理變數來自於現貨、期貨及選擇權市場的交易指標,包括了ARMS、券資比、法人的台指期貨多空交易量比、以台股加權指數為標的的賣買權交易量比和未平倉量比、以及選擇權反推的股價波動率指數。加入了台幣對美元的匯率變數後,本文將情緒指標做不同的排列組合,以向量自我迴歸(Vector Autoregressive, VAR)模型估計變數間的關係。除了台灣股票指數報酬率外,本文亦分析了情緒變數對寶來台灣卓越50證券投資信託基金(簡稱台灣50)報酬率、和不同產業的股價指數報酬率的影響。

結果顯示,投資人情緒對各種股價指數的影響不完全相同,其中選擇權反推的股價波動率指數及法人的台指期貨多空交易量比對台股指數、台灣50及各產業股價指數的報酬率皆有顯著的影響,又加入選擇權隱含的股價波動率指數的模型其配適度均比未加入者高,顯示關於「價格」的情緒變數對報酬率有較好解釋能力。然而,因本文使用的是日資料,能考量的總體變數有限,儘管投資人的情緒對股指報酬率常有顯著的影響,但模型的整體配適度仍偏低。

This thesis tries to investigate the impact of investor sentiment on returns of Taiwan stock indices. The proxy variables for investor sentiment are from the spot, futures and option markets. The sentiment proxy variables include: ARMS, ratios of short sells to margin purchases (SP), trading volume ratios of long to short TAIEX futures by financial corporations (TIF), trading volume ratios of put to call (PC), open interest ratios of put to call (OPC) and volatilities of indices returns implied by option premia (TVIX). After adding exchange rates between NTD and USD, vector autoregressive (VAR) models are employed to estimate relationships between stock indices returns and various combinations of investor sentiment variables. In addition to TAIEX returns, this study also considers Polaris Taiwan Top 50 Tracker Fund returns and individual industry indices returns.

The results show that impacts of investor sentiment variables on distinct indices returns are dissimilar. Variables of TVIX and TIF are found to have consistent and significant influences on all stock indices returns. The fitness of VAR models including variable TVIX is always better than that for models excluding it. This suggests that price-related investor sentiment variables may be more influential on stock indices returns. However, although investor sentiment variables have significant impacts on stock indices returns, the overall fitness of VAR regressions in this study is pretty low because daily data are used and limited macroeconomic variables can be considered in the models.

第一章、緒論.........................................1
第二章、文獻回顧.....................................3
第一節、傳統財務與行為財務............................3
第二節、投資人情緒與股票報酬...........................5
第三章、資料與研究方法...............................11
第一節、資料說明............................11
第二節、研究方法............................20
第四章、實證結果.....................................24
第一節、Augmented Dickey-Fuller單根檢定......24
第二節、因果關係檢定..........................26
第三節、變數組合..............................28
第五章、結論...........................................44
附錄...................................................46
參考文獻................................................64

中文部分:

李春安、類惠貞 (2008)。「衝擊事件下投資人情緒與股價指數動能之研究」。
東海管理評論 ,10(1), 1-45.
林淑瑜、莊鴻鳴、徐守德 (2008)。「台灣金融市場有限套利行為之研究」。
發表於「第九屆全國實證經濟研討會」。
倪衍森、黃寶玉、賴步昇 (2010)。「台灣股票市場資訊揭示與投資人情緒反應的互動關係」。
行為財務學暨新興市場理論與實證研討會論文集。
許溪南、郭玟秀、鄭乃誠 (2005)。「投資人情緒與股價報酬波動之互動關係:台灣股市之實證」。
台灣金融財務季刊, 6(3),107-121.
陳旭昇 (2009)。時間序列分析:總體經濟與財務金融之應用(修訂版)。 臺北市:臺灣東華。
陳振遠、周賢榮、王朝仕 (2008)。 「投資情緒與新上市公司股票的異常績效-陽光效應之應用」。
輔仁管理評論 15,43-72.
蔡永順、劉文智 (2011)。「台灣機構投資人過度自信行為實證研究」。
台灣管理學刊 ,11(2), 91-126.

英文部分:

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