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研究生:林 經
研究生(外文):Lin, Ching
論文名稱:歷史高點和股票指數報酬:拗折迴歸模型之應用
論文名稱(外文):Historical High and Stock Index Returns: Application of the Regression Kink Model
指導教授:李修全李修全引用關係張書濂
指導教授(外文):Lee, Hsiu-ChuanChang, Shu-Lien
口試委員:簡正儀許智翔曾永慶
口試委員(外文):CHIEN, CHENG-YIHsu, Chih-HsiangTseng, Yung-Ching
口試日期:2017-06-19
學位類別:碩士
校院名稱:銘傳大學
系所名稱:財務金融學系碩士班
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:2017
畢業學年度:105
語文別:英文
論文頁數:53
中文關鍵詞:投資者定錨歷史高點比率股票指數報酬拗折迴歸點門檻效果
外文關鍵詞:Investor AnchorHistorical High RatioStock Index ReturnsRegression KinkThreshold Effects
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根據Kahneman and Tversky (1979)的展望理論和Yuan (2015)的論文,本研究探討歷史高點比率對後續股票指數報酬的影響,並進一步研究當前股票指數對歷史高點距離的變化。本文使用Hansen (2016)提出具有未知門檻的拗折迴歸模型進行分析。使用的數據來自美國及亞洲國家的股票指數,本研究實證結果顯示美國股票指數及大部分的亞洲股票指數存在門檻效果。此外,結果也說明當股票指數價格靠近歷史高點時,歷史高點比率對後續股票指數報酬呈現正向關係;而當股票指數價格遠離歷史高點時,歷史高點比率對後續股票指數報酬有顯著的負向關係。總體而言,這些結果支持Kahneman and Tversky (1979)提出的展望理論,投資者在面臨損失(收益)時會變成風險愛好(趨避)者。
Motivated by Kahneman and Tversky (1979) and Yuan (2015), this paper investigates whether the influence of the historical high ratio on subsequent stock index returns varies with the distance of the current stock index to its historical high. To explore this issue, a regression kink model with an unknown threshold proposed by Hansen (2016) is used for our analyses. Using data from visible stock indices for U.S. and Asian countries, our empirical evidence shows the presence of threshold effects for most of the U.S. and Asian stock indices. Moreover, the evidence indicates that the historical high ratio has a strong negative effect on subsequent stock index returns, as the current stock index price is far from its historical high. Overall, these findings support the prospect theory developed by Kahneman and Tversky (1979), in that investors are instinctively risk-seeking (averse) when they face a loss (gain).
Contents

1. Introduction 1
2. Literature 5
2.1. Prospect theory 5
2.2. Anchoring effect, historical high 7
2.3. Comments on Previous Research 10
3. Methodology 11
3.1 Hypotheses 11
3.2 Data and notation 13
3.3 Regression kink with an unknown threshold 14
3.3.1 Estimation 14
3.3.2 Testing for a threshold effect 16
3.3.3 Wild bootstrap confidence intervals for parameters 17
4 Empirical results 19
4.1 Descriptive statistics 19
4.2 OLS results 22
4.3 Results of the regression kink model 25
4.4 OLS results for Asian stock indices 33
4.5 Results of the regression kink model for Asian stock indices 36
5 Conclusions 44
References 46



List of Tables

Table 1 Summary statistics. 21
Table 2 Impact of the historical high ratio on its subsequent returns for the Dow Jones Industrial Average index, Nasdaq Composite index, and S&P 500 index 24
Table 3 Testing for a threshold effect for the Dow Jones Industrial Average index, Nasdaq Composite index, and S&P 500 index 29
Table 4 Regression coefficients and bootstrap confidence intervals for parameters with threshold variables from the Dow Jones Industrial Average index, Nasdaq Composite index, and S&P 500 index 30
Table 5 Impact of the historical high ratio on its subsequent returns in Asian countries 35
Table 6 Regression coefficients and bootstrap confidence intervals for parameters with threshold variables from stock indexes in Asian countries 39







List of Figures

Figure 1 Impact of historical high on subsequent returns when historical high is used as the threshold variable 32
Figure 2 Impact of historical high on subsequent 6-month returns when historical high is used as the threshold variable in Asian countries 42
Figure 3 Impact of historical high on subsequent 12-month returns when historical is used as the threshold variable in Asian countries 43


References
1.Chen, S.S. (2009), “Predicting the bear stock market: Macroeconomic variables as leading indicators”, Journal of Banking and Finance, Vol.33, pp.211-223.
2.Griffin, D., Tversky, A. (1992), “The weighing of evidence and the determinants of confidence”, Cognitive Psychology, Vol.24, pp.411-435.
3.Hansen B. (2016), “Regression kink with an unknown threshold”, Journal of Business and Economic Statistics, DOI: 10.1080/07350015.2015.1073595.
4.Li, J., Yu, J. (2012), “Investor attention, psychological anchors, and stock return predictability”, Journal of Financial Economics, Vol.104, pp.401-419.
5.Lee, E., Piqueira, N. (2016), “Short selling around the 52-week and historical highs”, Journal of Financial Markets, forthcoming.
6.Kahneman, D., Tversky, A. (1979), “Prospect theory: an analysis of decisions under risk”, Econometrica, Vol.47, pp.263-291.
7.Ni, Z.X., Wang, D.Z., Xue, W.J. (2015), “Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model”, Economic Modelling, Vol.50, pp.266-274.
8.Shefrin, H., Statman, H. (1985), “The disposition to sell winners too early and ride losers too long: Theory and evidence”, Journal of Finance, Vol.40, pp.777-790.
9.Tornell, A., Yuan, C. (2012), “Speculation and hedging in the currency futures markets: Are they informative to the spot exchange rates”, Journal of Futures Markets, Vol.32, pp.122-151.
10.Yuan, Y. (2015), “Market-wide attention, trading, and stock returns”, Journal of Financial Economics, Vol.116, pp.548-564.
11.Tversky, A., & Kahneman, D. (1974), “Judgment under uncertainty: Heuristics and biases”, science, Vol.185, No.4157, pp.1124-1131.
12.Odean, T. (1998), “Are investors reluctant to realize their losses? ”, The Journal of finance, Vol.53, No.5, pp.1775-1798.
13.Grinblatt, M., & Keloharju, M. (2001), “What makes investors trade?”, The Journal of Finance, Vol.56, No.2, pp.589-616.
14.George, T. J., & HWANG, C. Y. (2004), “The 52‐week high and momentum investing”, The Journal of Finance, Vol.59, No.5, pp.2145-2176.
15.Driessen, J., Lin, T. C., & Van Hemert, O. (2013), “How the 52-week high and low affect option-implied volatilities and stock return moments”, Review of Finance, Vol.17, No.1, pp.369-401.
16.Peng, L., & Xiong, W. (2006), “Investor attention, overconfidence and category learning”, Journal of Financial Economics, Vol.80, No.3, pp.563-602.
17.Loewenstein, M., & Willard, G. A. (2006), “The limits of investor behavior”. The Journal of Finance, Vol.61, No.1, pp.231-258.


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