人們總是很容易受到不相關的事物、心理的情緒及任何不理性因素的影響，思緒隨著起伏不定，不論在投資決策、公司績效表現或整體市場報酬，情緒已造成超出想像的影響。雖然過去的文獻對於衡量投資人情緒的方法皆有不同解釋和偏好，但不變的結果是，投資人情緒不僅對市場指數與投資組合報酬造成影響，甚至跟經濟的未來發展趨勢也密不可分。因此，本研究探討投資人情緒與股票市場及經濟景氣之動態影響關係，並特別針對共同移動關係進行分析檢驗。
本研究使用Granger因果檢定、相關性分析、交叉相關分析與向量自我迴歸模型(VAR)，檢驗台灣e股民情緒指數和台灣加權股價指數、股票市場報酬或景氣指標之間有沒有存在共同移動的關係；投資人情緒指標和大盤指數與股票報酬、景氣指標之間是否存有顯著相關；彼此之間的關係又是否受到落後期的影響。研究發現，情緒指數受大盤指數與股票市場報酬所影響；在與總體經濟的關聯性上，情緒指數與景氣同時指標間的關聯性較景氣領先指標強烈。

People are always prone to be influenced by emotional and unrelated factors when they make everyday decisions. Many studies have shown that the effect of investor sentiment on investment decision-making, firm performances, and stock returns are far beyond our imagination. Although there are different ways to measure investor sentiments, their effects on stock market returns and the economic future trends are significant. This study investigates the dynamic relationships of investor sentiment, stock market returns, and business cycle indicators, especially in analyzing their comovement patterns.
In this study, Granger causality test, correlation analysis, cross-correlation analysis and vector autoregression model (VAR) are used to examine whether there exist relations or comovements between the Taiwan e-investor sentiment and stock market returns or business cycle indicators. The empirical results show that there is a statistically significant positive relation between Taiwan e-investor sentiment and stock market returns, and stock market returns may lead investor sentiment.

謝誌 I
摘要 II
目錄 IV
表目錄 V
圖目錄 VI
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 4
第三節 論文架構 4
第二章 文獻回顧 6
第一節 投資人情緒與股票市場報酬 6
第二節 共同移動 9
第三章 研究方法 13
第一節 研究流程 13
第二節 資料分析與變數說明 15
第三節 研究假說與方法 25
第四章 實證分析 32
第一節 單根檢定與HP濾波器 32
第二節 向量自我迴歸(Vector Autoregression, VAR) 37
第三節 共同移動分析(Comovement Analysis) 48
第五章 結論 52
參考文獻 54
附錄 59

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二、中文文獻
1.丹．艾瑞利（民100）。誰說人是理性的！。台北市：天下文化。
2.丹．艾瑞利（民100）。不理性的力量。台北市：天下文化。