(3.234.221.162) 您好!臺灣時間:2021/04/14 05:09
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:陳映君
研究生(外文):CHEN,YING-CHUN
論文名稱:新聞事件在不同恐慌指數變動下股價的不對稱反應
指導教授:王明昌王明昌引用關係
指導教授(外文):WANG,MING-CHUNG
口試委員:李永全徐政義
口試委員(外文):LI,YONG-CYUANSYU,JHENG-YI
口試日期:2016-06-17
學位類別:碩士
校院名稱:國立中正大學
系所名稱:企業管理系研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2016
畢業學年度:104
語文別:中文
論文頁數:38
中文關鍵詞:媒體管理投資人恐慌指數股票市場報酬支援向量機
外文關鍵詞:Media ManagementSupport Vector MachineStock returnVolatility Index
相關次數:
  • 被引用被引用:1
  • 點閱點閱:119
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:1
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



Anderson, S., Beard, T. R., Kim, H., & Stern, L. V. (2013). Fear and closed-end fund discounts. Applied Economics Letters, 20(10), 956-959.
Baker, M. and J. Wurgler (2006), “Investor sentiment and the cross-section of stock returns,” Journal of Finance, 4,1645-1680.
Banz,Rolf.W(1981), ’’The Relationship Between Return and Market Value of Common Stocks, ’’Journal of Financial Economics, Vol.9,No.1,1981,pp.3-18
Barth, M. E., & Kallapur, S. (1996). The Effects of Cross‐Sectional Scale Differences on Regression Results in Empirical Accounting Research*.Contemporary Accounting Research, 13(2), 527-567.
Basu, S. (1983). The relationship between earnings' yield, market value and return for NYSE common stocks: Further evidence. Journal of financial economics, 12(1), 129-156.
Binswanger, M. (2000), Stock Returns and Activity: Is there Still Connection?Applied Financial Economics, 10, 379-387.
Black, F. (1976) Studies of stock price volatility changes. Proceedings of the American Statistical Association,Business and Economics Statistics Section, 177–81.
Black,F.E.(1995),’’A Study of Price to Book Relationship,’’ Financial Analysts Journal,Vol.51,No.3,445-455
Brown, W. and M. Cliff, 2004, “Investor Sentiment and the Near-term Stock Market,” Journal of Empirical Finance 11, pp. 1-27.
Busse, J. A., & Green, T. C. (2002). Market efficiency in real time. Journal of Financial Economics, 65(3), 415-437.
Cecchini, Mark, Haldun Aytug, Gary J. Koehler, and Praveen Pathak, 2010, Making words work: using financial text as a predictor of financial events, Decision Support Systems 50, 164-175.
Cecchini, Mark, Haldun Aytug, Gary J. Koehler, and Praveen Pathak, 2010, Detecting management fraud in public companies, Management Science 56, 1146-1160.
Chan, L. K., Jegadeesh, N., and J. Lakonishok(1996),’’Momentum Strategies,’’ Journal of Finance,51,1681-1713.
Chan, W. S. (2003). Stock price reaction to news and no-news: Drift and reversal after headlines. Journal of Financial Economics, 70(2), 223-260.
Copeland, Maggie M. and Thomas E. Copeland, (1999) “Market Timing: Style and Size Rotation Using the VIX.”, Financial Analysts Journal, Vol. 55, 73-81.
Conrad, J., B. Cornell, and W. R. Landsman. 2002. When is bad news really bad news? Journal of Finance 57: 2507–2532.
Cutler, D., J. Porterba and L Summers (1989).“What moves stock price? ” Journal of Portfolio Management 15, 4-12
Dougal, C., Engelberg, J., Garcia, D., & Parsons, C. A. (2012). Journalists and the stock market. Review of Financial Studies, 25(3), 639-679.
Frakes, W. B., and Ricardo Baeza-Yates, 1992, Information Retrieval: Data Structures and Algorithms. Englewood Cliffs, NJ: Prentice Hall.
Giot, P. (2002). Implied volatility indices as leading indicators of stock index returns?.
Griffin, J. M., Hirschey, N. H., & Kelly, P. J. (2011). How important is the financial media in global markets?. Review of Financial Studies, hhr099.
Harris Drucker, Chris J.C. Burges, Linda Kaufman, Alex Smola and Vladimir Vapnik (1997). "Support Vector Regression Machines". Advances in Neural Information Processing Systems 9, NIPS 1996, 155-161, MIT Press.
James A. Hyerczyk, Volatility Matters : Better Position Sizing, 2001, Futures, May, 34-36
Kim, H. S., & Sohn, S. Y. (2010). Support vector machines for default prediction of SMEs based on technology credit. European Journal of Operational Research, 201(3), 838-846.
Kim, O., & Verrecchia, R. E. (1991). Trading volume and price reactions to public announcements. Journal of accounting research, 302-321.
Kim, Y. H., & Meschke, F. (2011, August). CEO interviews on CNBC. In Fifth Singapore International Conference on Finance.
Kothari, S. P., Shu, S., & Wysocki, P. D. (2009). Do managers withhold bad news?. Journal of Accounting Research, 47(1), 241-276.
Latane, H. A., & Jones, C. P. (1977). Standardized unexpected earnings—A progress report. The Journal of Finance, 32(5), 1457-1465.
Lou, D. (2014). Attracting investor attention through advertising. Review of Financial Studies, hhu019.
Mitchell, M.L. and H. Mulherin (1994), “The impact of public information on the stock market,” Journal of Finance, 49, 923-950.
Nofsinger, J. R. (2001). The impact of public information on investors. Journal of Banking & Finance, 25(7), 1339-1366.
Sankaraguruswamy, S., Shen, J., & Yamada, T. (2006, March). Impact of firm-specific public information on the relation between prices and trading. In EFA 2006 Zurich Meetings.
Sarwar, G. (2012) “Is VIX an investor fear gauge in BRIC equity markets?” Journal of Multinational Financial Management , 22:3, 55-65.
Van Gestel, T., Baesens, B., Suykens, J., Espinoza, M., Baestaens, D. E., Vanthienen, J., & De Moor, B. (2003, March). Bankruptcy prediction with least squares support vector machine classifiers. In Computational Intelligence for Financial Engineering, 2003. Proceedings. 2003 IEEE International Conference on (pp. 1-8). IEEE.
Vega, C. (2006). Stock price reaction to public and private information. Journal of Financial Economics, 82(1), 103-133.
Williams, C. D. (2014). Asymmetric responses to earnings news: A case for ambiguity. The Accounting Review, 90(2), 785-817.
Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance, 62(3), 1139-1168.
Tetlock, P. C., SAAR‐TSECHANSKY, M. A. Y. T. A. L., & Macskassy, S. (2008). More than words: Quantifying language to measure firms' fundamentals.The Journal of Finance, 63(3), 1437-1467.
王明昌, 鄭揚耀, & 柯建全. (2015). 企業財務危機前之媒體管理. 會計評論, (61), 77-119.
王肇蘭,廖思雯與池祥萱,2009,公司是否能藉由媒體曝光度減緩非預期負面盈餘宣告 對股市的衝擊?以台灣金融業為例 《台灣管理學刊》9.165-184
蕭慧德,周萍芬,邱清顯(2008),「以支援向量機與羅吉斯迴歸進行企業危機診斷之比較」,遠東學報第二十五卷,第二期,333~342頁。
周賓凰、池祥萱、周冠男,2002,行為財務學 文獻回顧與展望,證券市
場發展季刊142,1-48。
徐中琦、黃銘遠 (2012),公開資訊之資訊內涵與投資人在不同情緒下投資行為之研究,台灣銀行季刊,第三十六卷第四期,112-129。
詹場, 胡星陽, 呂朝元, & 徐崇閔. (2011). 市場狀態與投資人對盈餘訊息之反應. 經濟論文叢刊, 39(4), 463-510.

QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔