本研究檢定當恐慌指數變動下新聞事件對於股價是否存在不對稱反應。以台灣50成份股為訓練樣本，使用支援向量機(Support Vector Machine，SVM)將研究訓練樣本公司新聞做正負向新聞分類標準。再依訓練原則判斷研究樣本以台灣上市櫃股票公司在2006年12月至2016年3月媒體發佈實際新聞報導作為研究樣本，探討恐慌指數變動下新聞事件對於股價的不對稱性反應。實證結果顯示，投資人在恐慌指數上升(下跌)，市場較悲觀(樂觀)時，壞新聞對於股價下跌敏感度較大(較小)，好新聞對於股價敏感度較小，投資人投資決策會受恐慌指數變動及新聞事件而影響。

This study is about the response of stock price reaction when the news accompanies Volatility Index changes and test asymmetry of stock price response. The component stocks of TSEC Taiwan 50 index will be taken as examples. For training the relevant words, these samples are classified positive/negative by Support Vector Machine (SVM) and I will use multiple regression models to analysis the response of stock price; the news of companies listed in Taiwan Stock Exchange is from December 2006 to March 2016. The empirical result shows investors will be more sensitive about bad news, when the market is unstable and Volatility Index is increasing. On the other hand, investors will be not so sensitive to the good news

目錄
致謝 ii
Abstract iv
表目錄 vi
壹、 前言 1
貳、 文獻探討與研究假說 4
參、研究方法 9
二、 新聞語料分類方法 12
三、 迴歸模型 14
肆、研究樣本 16
一、分類訓練樣本 16
二ヽ新聞數量與產業分佈樣本 16
三ヽ研究變數 17
伍ヽ實證結果 21
一、敘述性統計分析 21
二、股價不對稱反應迴歸分析 23
陸ヽ結論與建議 26
參考文獻 27

 
表目錄
表1新聞事件與股價報酬反應敘述性統計 31
表2 新聞樣本數 32
表3 好壞新聞事件平均值檢定 33
表4 新聞事件對股價報酬率影響迴歸分析 35
表5 事件累積報酬率迴歸分析 36
表6新聞事件與恐慌指數變動對股價迴歸分析 37
表7 恐慌指數變動事件累積報酬率 38


 

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