臺灣博碩士論文加值系統

本研究主要探討Da,Engelberg and Gao (2011)提出新的投資人關注衡量變數google搜尋量指標(Search Volume Index;SVI)與台灣股市動能效應的關係。以2008至2012年台灣上市公司為研究樣本進行分析，實證結果有幾點發現:(1)SVI主要捕捉到散戶投資人的關注;(2)SVI能夠領先下一周的股票報酬;(3)在短期下，投資人關注較高的投資 組合有較強的動能效果 (4)投資人關注高(低)贏家和投資人關注低(高)輸家的投資組合，未來會有價格動能反轉(持續)的現象(5)投資人關注高的投資組合具有公司市值大、股利發放多和較高ROA，符合散戶投資人會關注的公司特徵，最後，有別於Lee and Swaminathan(2000)以週轉率提出的動能生命週期理論，本研究發現到能夠透過SVI得到近似的結果，幫助投資人判別動能策略方向。由上述可得知，SVI 在台灣股票市場有很大的適用性且隱含許多資訊內涵。

Da, Engelberg and Gao(2011) propose a new investor attention index using search volume index in Google.This study explore the relationship between SVI and momentum in Taiwan stock market. We analyze all listed companies from 2008 to 2012. The empirical result find that:(1)SVI mainly capture the attention of retail investors.(2)SVI can lead stock return in the next one week.(3)In the short term, the momentum effect is stronger among high SVI portfolios. (4) the high (low) SVI winner and low(high) SVI loser portfolios have price momentum continue(reversals) in the future (5) the stock characteristics for the high SVI portfolios have higher market value , dividend and ROA , corresponding the behavior of retail investors. Finally, unlike Lee and Swaminathan(2000) used turnover to construct momentum life cycle. This study find that we can obtain similar results and help investor determine the direction of momentum strategy through SVI.As seen from the above,SVI have great applicability and imply a lot of information in Taiwan stock market.

目 錄
中文摘要……………………………………………………………………………………………………………………………i
英文摘要……………………………………………………………………………………………………………………………ii
誌謝………………………………………………………………………………………………………………………………………iii
目錄………………………………………………………………………………………………………………………………………iv
表目錄…………………………………………………………………………………………………………………………………vi
圖目錄…………………………………………………………………………………………………………………………………vii 第一章、緒論………………………………………………………………………………………………………………………1
1-1 研究動機…………………………………………………………………………………………………………………1
1-2 研究流程…………………………………………………………………………………………………………………3
第二章、文獻探討………………………………………………………………………………………………………………4
2-1 投資人關注相關文獻…………………………………………………………………………………………4
2-2 動能效應解釋因素………………………………………………………………………………………………6
2-2-1 過度反應相關文獻…………………………………………………………………………………………7
2-2-2 反應不足相關文獻…………………………………………………………………………………………8
2-2-3 投資人結構相關文獻……………………………………………………………………………………9
2-3 動能生命週期相關文獻……………………………………………………………………………………9
第三章、研究方法與設計………………………………………………………………………………………………10
3-1 研究期間、樣本與資料來源…………………………………………………………………………10
3-2 變數定義…………………………………………………………………………………………………………………11
3-2-1直接投資人關注變數………………………………………………………………………………………11
3-2-2間接投資人關注變數………………………………………………………………………………………11
3-2-3散戶投資人情緒變數………………………………………………………………………………………13
3-3 研究假設…………………………………………………………………………………………………………………15
3-4 研究方法與實證模型…………………………………………………………………………………………16
3-4-1 SVI 與間接投資人關注迴歸分析模型…………………………………………………17
3-4-2 SVI 與散戶投資人情緒迴歸分析模型…………………………………………………17
3-4-3 向量自我迴歸分析模型………………………………………………………………………………18
3-4-4 簡單價格動能策略………………………………………………………………………………………19
3-4-5 SVI動能策略……………………………………………………………………………………………………20
3-4-6 SVI與價格動能策略……………………………………………………………………………………21
3-4-7 Fama-MacBeth(1973)迴歸模型……………………………………………………………22
3-4-8 動能生命週期投資策略………………………………………………………………………………23
第四章、實證結果分析……………………………………………………………………………………………………23
4-1 SVI與其它變數相關係數…………………………………………………………………………………23
4-2 SVI 與間接投資人關注度迴歸分析…………………………………………………………24
4-3 SVI與散戶投資人情緒迴歸分析…………………………………………………………………24
4-4 SVI、散戶投資人交易與報酬之 VAR 模型……………………………………………25
4-5 簡單價格動能………………………………………………………………………………………………………26
4-6 SVI 動能策略………………………………………………………………………………………………………26
4-7 SVI 與價格動能…………………………………………………………………………………………………27
4-8 投資組合動能持續與反轉………………………………………………………………………………29
4-9 動能持續與反轉投資組合策略……………………………………………………………………31
4-10 投資組合公司特性…………………………………………………………………………………………32
4-11 SVI 動能生命週期…………………………………………………………………………………………32
第五章、結論………………………………………………………………………………………………………………………33 參考文獻…………………………………………………………………………………………………………………………………35

表 目 錄

表 1 變數定義……………………………………………………………………………………………………………………38
表 2 變數敘述統計…………………………………………………………………………………………………………39 表 3 SVI 與其它變數相關係數…………………………………………………………………………………40 表 4 SVI 與間接投資人關注迴歸分析…………………………………………………………………41 表 5 SVI 與散戶投資人情緒迴歸分析…………………………………………………………………42 表 6 SVI、報酬與散戶投資人週轉率之 VAR 模型…………………………………………43 表 7 簡單價格動能策略…………………………………………………………………………………………………44 表 8 SVI 動能策略…………………………………………………………………………………………………………45 表 9 SVI 與價格動能……………………………………………………………………………………………………46 表 10 投資組合動能反轉與持續………………………………………………………………………………47 表 11 動能持續與反轉投資組合策略………………………………………………………………………48 表 12 投資組合公司特性………………………………………………………………………………………………49

圖 目 錄

圖 1 研究架構流程圖………………………………………………………………………………………………………3
圖 2 Buy-and-hold 投資組合策略報酬………………………………………………………………50 圖 3 SVI 動能生命週期………………………………………………………………………………………………50

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