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臺灣博碩士論文加值系統

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研究生:蔡牧婷
研究生(外文):Mu-Ting Tsai
論文名稱:投資人情緒對於旅遊業股票報酬之影響
論文名稱(外文):The impact of investor sentiment changes on tourism stock returns
指導教授:陳明祥陳明祥引用關係
指導教授(外文):Ming-Hsiang Chen
口試委員:陳明祥劉清標郭良瑋林建邦
口試委員(外文):Ming-Hsiang ChenChinpiao LiuLiang-wei KuoChien-pang Lin
口試日期:2014-05-27
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融研究所
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:2014
畢業學年度:102
語文別:英文
論文頁數:38
外文關鍵詞:Investor sentimentStock returnTourism industryTaiwan
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  • 點閱點閱:389
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  • 下載下載:8
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This study examines whether there is investor sentiment in the Taiwanese tourism industry during the period 2003 to 2013. Following Baker, Wurgler and Yuan (2012), the study constructs an investor sentiment index based on market turnover, the number of IPO, return of IPO, and volatility of premium. Regression test results using both daily and monthly data indicate that investor sentiment in the tourism industry can affect tourism stock returns. Further, adding four macroeconomic variables, included changes in unemployment rate, money supply growth rate, inflation rate, industrial production growth rate to regression, regression test results based on monthly data still show that investor sentiment in the tourism industry has a significant effect on tourism stock returns.
Table of contents
1. Introduction .............................................................................................................. 1
2. Literature review ...................................................................................................... 4
2.1 Tourism industry stock return ........................................................................ 4
2.2 Investor sentiment impact on stock returns ................................................... 6
2.2.1 Direct investor sentiment ..................................................................... 8
2.2.2 Indirect investor sentiment .................................................................. 9
3. Data and methodology ........................................................................................... 11
3.1. Independent variable.................................................................................... 12
3.1.1. Independent variable: Investor sentiment ........................................ 12
3.1.2. Independent variable: Macroeconomic variables .......................... 15
3.2. Dependent variable: Stock return................................................................ 16
4. Estimation of regression results and discussion of major findings .................... 17
5. Conclusion .............................................................................................................. 21
References ................................................................................................................... 23
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