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研究生:黃透汝
研究生(外文):Tou-Ju Huang
論文名稱:情緒指標對臺灣股票報酬與風險之研究─以中國概念股為例
論文名稱(外文):A Study of the Influence of Sentiment Indicators on the Returns and Risks of the China Concept Stocks in Taiwan
指導教授:戴錦周戴錦周引用關係賴煒曾賴煒曾引用關係
指導教授(外文):Jin-Jou DaiWei-Tseng Lai
學位類別:碩士
校院名稱:國立臺中科技大學
系所名稱:財務金融研究所碩士班
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:情緒指標中國概念股
外文關鍵詞:Sentiment IndicatorChina Concept Stocks
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本研究為2008年1月1日至2017年5月31日,2,325筆日資料,樣本為中國概念股之26檔股票,選用三大法人買賣超、當沖比例、融資餘額及融券餘額當作情緒指標,透過GARCH (1,1)模型,實證情緒指標對中國概念股報酬與風險之研究。各股票報酬之實證結果發現:首先,三大法人買賣超在長期下與個股報酬皆呈現顯著正向影響,表示三大法人買賣超情緒指標變動使個股報酬呈正向變動。其次,當沖比例在長期下與個股報酬也呈現顯著正向影響,顯示當日沖銷交易會使報酬增加。另外,融資餘額在長期下融資餘額和股價存在因果關係,但對未來股價報酬方向不確定。最後,在長期下融券餘額增加與未來股價為負向的走勢。各股票風險之實證結果發現:首先,三大法人買賣超及當沖比例情緒指標波動越大時,個股風險變動也越大,反之,情緒指標波動小,個股風險變動則較小,當中以自營商買賣超最為明顯。最後,融資餘額、融券餘額與個股風險之間的關係在長期影響下方向不固定。
This study refers to 2,325 pieces of data from January 1, 2008 until May 31, 2017, taking samples of 26 China concept stocks, selecting and using overbought/oversold of three institutional investors, proportion of day trading, balance of margin loan and stock loan as the sentiment indicators through a GARCH (1, 1) model to empirically demonstrate sentiment indicators on China concept stocks returns and risks. First and foremost, the empirical results of all stock returns show that the overbought/oversold of three institutional investors under the long-term condition have had a significant positive impact on returns of individual stocks, which indicates the changes of overbought/oversold sentiment indicators render the returns of individual stocks a positive change. Next, the long-term proportion of day trading has a positive impact on returns of individual stocks as well, which demonstrates the day trading increases the returns. In addition, the financing balance in the long term has a causal relationship with the stock prices; however, there is an uncertainty over the future direction of share price returns. Finally, the long-term increased balance of stock loan leads to a negative trend of future share prices. The empirical results of all stock risks are shown as follows: first of all, the higher (lower) the fluctuation of overbought and oversold of three institutional investors and sentiment indicators of day trading is, the greater (smaller) the risk change in individual stocks will be, of which the overbought/oversold of dealers is most obvious. Besides, the relationship between the balance of margin/stock loan and the risk of individual stocks is not fixed under the long-term influence. Moreover, the overbought/oversold of foreign investment, overbought of dealers and day trading proportion in the traditional industries (Taiwan Cement, Uni-President Enterprises Corporation and Nan Ya Plastics) have shown a significant positive impact. Finally, the empirical results were also presented that the variance was relatively sensitive to the proportion of day trading i.e. the higher the proportion of day trading is, the higher the risk of individual stocks will be.
目次
中文摘要…………………………………………………………………………………………………………………i
英文摘要………………………………………………………………………………………………………………ii
誌謝………………………………………………………………………………………………………………………iii
目次……………………………………………………………………………………………………………………… iv
表目次…………………………………………………………………………………………………………………… v
圖目次……………………………………………………………………………………………………………………vi
第一章 緒論……………………………………………………………………………………………………………………. 1
第二章 文獻回顧…………………………………………………………………………………………………………… 3
第一節 情緒指標相關文獻………………………………………………………………………………………… 3
第二節 中國概念股相關文獻…………………………………………………………………………………… 4
第三章 研究方法…………………………………………………………………………………………………………… 6
第一節 資料說明…………………………………………………………………………………………………………… 6
第二節 研究變數定義…………………………………………………………………………………………………… 9
第三節 研究方法……………………………………………………………………………………… 11
第四章 實證結果與分析………………………………………………………………………… 14
第一節 敘述性統計分析………………………………………………………………………… 14
第二節 GARCH(1,1)迴歸結果…………………………………………………………… 27
第五章 結論與建議………………………………………………………………………………… 55
第一節 結論………………………………………………………………………………………………… 55
第二節 研究建議……………………………………………………………………………………… 55
參考文獻………………………………………………………………………………………………………… 56
參考文獻
中文部分
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2.林豐政,謝明翰,陳志鈞 (2015),從中國概念股觀點探討台灣與大陸股價指數關聯性之研究,兩岸金融季刊,第三卷第四期75-94。
3.周賓凰,張宇志,林美珍 (2007),投資人情緒與股票報酬互動關係,證券市場發展季刊,19(2),153-190。
4.徐清俊,郭敏吉 (2007),中國概念股股價與投資績效之研究,遠東學報,第二十四卷第三期,233-248。
5.郭樂平與俞秀美 (1998),「以巴菲特理論評比「中 國概念股」的選股迷思」,會計研究月刊,第154 期,頁135-140。
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7.張哲章 (1997),融資融券餘額,成交量與股價指數之關聯性 研究,私立淡江大學財務金融研究所碩士論文。
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英文部分
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5.Chung, Jay M., Hyuk Choe and Bong-Chan Kho, (2009), “The Impact of Day- Trading on Volatility and Liquidity.” Asia-Pacific Journal of Financial Studies, Vol. 38 (2), 237-275.
6.DeLong, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann, (1990), “Noise trader risk in financial markets.” Journal of Political Economy 98, 703-738.
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8.Engle, Robert F. (1982), “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation.” Econometrica, 50, 987–1008.
9.Fama, E. F.(1970), “Efficient capital markets A review of theory and empirical work. “Journal of Finance,25(2),383-417.
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11.Shiller, Robert J., Fumiko Kon-Ya and Yoshiro Tsutsui, (1996), “Why did the Nikkei Crash Expanding the scope of expectations data collection.” Review of Economics and Statistics, 78, 156-164.
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