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研究生:袁中杰
研究生(外文):Yuan, Zhong-Jie
論文名稱:投資者情緒與市場報酬之關係研究-以中國A股為例
論文名稱(外文):Investor Sentiment and Stock Return:Cases of Chinese Stock Market
指導教授:吳靖東吳靖東引用關係
指導教授(外文):Wu, Jing-Tung
口試委員:邱麗卿吳孟紋
口試委員(外文):Chiu, Li-ChingWU, MENG-WEN
口試日期:2017-06-11
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:中文
論文頁數:57
中文關鍵詞:投資者情緒總體經濟市場報酬
外文關鍵詞:Investor sentimentMicroeconomicsMarket Return
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隨著中國的經濟與金融地位日趨重要,中國金融市場的波動更成為眾所關注的焦點。過去中國股市存在暴漲暴跌與個股炒作現象,因此探討投資者情緒與股票報酬之關係十分必要。本文以2011-2016年中國A股為研究對象,以成交量、市場周轉率、資券餘額比、新增戶口數、分析師情緒作為情緒指標,檢定情緒變數是否能有效解釋市場報酬。實證結果發現市場周轉率能夠顯著地解釋當期市場報酬,並且兩者之間互為影響,最終投資者情緒會影響下一期市場報酬。在進行穩定性測試中,研究發現投資者情緒對市場報酬的影響有加深的現象。在後期測試中,周轉率、資券餘額比、分析師情緒對市場報酬皆存在顯著關係。此外,市場周轉率、資劵餘額比、新增戶口數受基本面風險的影響,從中反應了投資人情緒並非完全不理性。由此可見,股市中異常報酬率是由理性投資者與非理性投資者動態交易過程中所導致。 
As the importance of China’s economy and finance has enhanced internationally by time, the fluctuation of China’s financial market has also draw great attention from the public. Seen from the past performance of China’s stock market, the phenomena of serve soar and slump in stock prices and stock hype etc. still exist, for which, it is very important to have deeper discussion on the topic of the relations between the investor sentiment and the stock returns. Regarding the A-share market of China from 2011 to 2016 as research object, this paper takes stock volume, stock turnover rate, balance ration of securities margins, newly increased account numbers, and the analyst sentiment as sentiment index, with the aims to testify whether sentiment index can explain the stock returns. The results of empirical study in this paper show that the stock turnover is significant in explaining the stock returns with a significant regression relation, while the stock turnover is negatively related to the next stock returns. In the stability test, it is found that the investor sentiment has deepened its influence on the stock returns. In the later tests, it is verified that the turnover rate, the balance ration of securities margins, and the analyst sentiment are significantly related to the stock returns. In addition, the stock turnover rate, the balance ratio of securities margins and the newly increased account numbers are influenced by the risks of fundamentals, which indicates that the investors are not totally rational. Therefore, it can be seen that the deviation of stock price from its equilibrium price is resulted by the dynamic trading of rational investors and irrational investors.
目錄
第壹章 緒論 1
第一節、研究背景及動機 1
第二節、研究目的 4
第三節、研究架構 6
第貳章文獻回顧 7
第一節、傳統財務模型的發展及論述 7
第二節、總體經濟對市場報酬及投資者情緒的影響 9
第四節、投資者情緒的衡量方式 15
第叁章研究方法 17
第一节、資料範圍及來源 17
第二節、變數說明 18
第三節、研究假說與方法 23
第肆章實證結果與分析 25
第一節、情緒變數之基本敘述性統計 25
第二節、情緒變數與總體經濟因子之回歸關係 30
第三節、市場報酬對情緒變數及總體經濟因子之關係 37
第四節、投資者情緒對市場報酬之預測能力 45
第伍章結論 46
參考文獻 47
一、中文部份 47
二、英文部份 48

表目錄
表4-1 情緒變數之基本敘述統計…………………………………………….…….26
表4-2 情緒變數間之相關係數矩陣………………………………………………..29
表4-3 情緒變數與總體經濟因子間的相關係數矩陣……………………………..31
表4-4 情緒變數對總體經濟因數的時間序列回歸………………………………..33
表4-5 情緒變數與總體經濟因子之Granger因果檢定……………………………35
表4-6市場報酬對情緒變數與總體經濟因數之時間序列回歸…………..….……39
表4-7 情緒變數與市場報酬之Granger因果檢定………………………..……….42
表4-8 穩定性測試——市場報酬對情緒變數之子期間時間序列回歸…….…….43
表4-9 情緒因數對市場報酬之預測能力………………………………….……….45



圖目錄
圖一 成交量…………………………………………………………………….….27
圖二 融資融券餘額………………………………………………………………..27
圖三 新增開戶數…………………………………………………………….…….28


參考文獻
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