(3.235.108.188) 您好!臺灣時間:2021/02/26 18:48
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:李秀美
研究生(外文):CHINCHUTHA LEESOMPRASONG
論文名稱:台灣投資者情緒對反饋交易行為的影響
論文名稱(外文):The Effect of Investor Sentiment on Feedback Trading: Evidence from Taiwan
指導教授:涂登才涂登才引用關係
指導教授(外文):TU, TENG-TSAI
口試委員:邱靖博陳達新郭淑惠
口試委員(外文):Chiu, Chin-PoChen, Dar-HsinKuo, Shew-Huei
口試日期:2020-07-30
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:財務金融英語碩士 學位學程(GMBA)
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:2020
畢業學年度:108
語文別:英文
論文頁數:36
中文關鍵詞:投資者情緒反饋交易台灣 100 指數自相關市場微觀結構IGARCH-M
外文關鍵詞:investor sentimentfeedback tradingTaiwan 100 Indexautocorrelationmarket microstructureIGARCH-M
相關次數:
  • 被引用被引用:0
  • 點閱點閱:33
  • 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:6
  • 收藏至我的研究室書目清單書目收藏:0
本研究探討投資者情緒對反饋交易行為的影響。 通過分析台灣中型股100指數的日報酬和指數成分股的各別報酬。本研究發現投資者情緒在低水平時存在顯著的正回饋交易,而投資者情緒在高水平時,存在顯著的負回饋交易。特定的情緒指標解釋反饋交易者與其情緒之間關係的微觀結構設置。本研究透過SW-Dai-Yang模型來衡量反饋交易行為並且成功的解釋投資人情緒如何影響反饋交易者和理性投資者的交易決策。本研究實證結果顯示,當大多數的證券價格上漲時,反饋交易者更有很大的可性進行投資交易;當反饋交易者的投資情緒在中間水平時,反饋交易是不顯著的。
This study examines the effect of investor sentiment on feedback trading behavior. By analyzing the daily closing total return of Taiwan Mid-Cap 100 Index and its individual returns of constituent stocks, we find that there is a significant ‘positive feedback trading’ in low sentiment, whilst there is a significant ‘negative feedback trading’ in high sentiment. A specific indicator of sentiment explains the microstructure setting of the relationship between feedback traders and their sentiment. We adopt SW-Dai-Yang model to measure feedback trading behavior. The study successfully explain how sentiment affect the behavior of both feedback traders and rational investors. The empirical results suggest that feedback traders are more likely to trade when the prices of most securities move forward together. When the sentiment of feedback traders is at a middle level, the feedback trading is insignificant.
ACKNOWLEDGEMENT ............................................................................................................................. i
ENGLISH ABSTRACT ................................................................................................................................ ii
CHINESE ABSTRACT ............................................................................................................................... iii
CHAPTER1 INTRODUCTION ................................................................................................................... 1
1.1 RESEARCH BACKGROUND AND MOTIVATION ................................................................ 1
1.2 RESEARCH OBJECTIVES ......................................................................................................... 4
1.3 RESEARCH PROCESS ............................................................................................................... 5
CHAPTER2 LITERATURE REVIEW ........................................................................................................ 6
2.1 INVESTOR SENTIMENT ........................................................................................................... 6
2.2 FEEDBACK TRADING BEHAVIOR ........................................................................................ 8
2.3 THE RELATIONSHIP BETWEEN INVESTOR SENTIMENT AND FEEDBACK TRADING ................. 10
CHAPTER3 METHODOLOGY ................................................................................................................ 13
3.1 SENTIMENT INDICATOR OF FEEDBACK TRADING ........................................................ 13
3.2 FEEDBACK TRADING IN SW’S MODEL ............................................................................. 14
3.3 A DAI-YANG’S MODIFIED MODEL ..................................................................................... 17
3.4 IGARCH-M MODEL ................................................................................................................. 19
CHAPTER4 DATA AND DESCRIPTIVE STATISTICS ......................................................................... 21
CHAPTER5 EMPIRICAL RESULTS AND RESTRICTION ................................................................... 25
5.1 EMPIRICAL RESULTS ................................................................................................................. 25
5.2 RESTRICTION ON NON-INVESTABLES ASSET ...................................................................... 28
CHAPTER6 CONCLUSIONS .................................................................................................................... 30
REFERENCES ........................................................................................................................................... 32
Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2010). Sentiment and momentum. Journal of Financial and Quantitative Analysis, Forthcoming.
Babu, A. S., & Kumar, R. R. (2015). The Impact of Sentiments on Stock Market: A Fuzzy Logic Approach. IUP Journal of Applied Finance, 21(2), 22.
Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271-299.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.
Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129-151. doi:DOI 10.1257/jep.21.2.129
Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
Basu, D., Hung, C.-H. D., Oomen, R. C., & Stremme, A. (2006). When to pick the losers: Do sentiment indicators improve dynamic asset allocation? Paper presented at the EFA 2006 Zurich Meetings Paper.
Blasco, N., Corredor, P., & Ferreruela, S. (2012). Market sentiment: a key factor of investors’ imitative behaviour. Accounting & Finance, 52(3), 663-689.
Bohl, M. T., & Reitz, S. (2004). The influence of positive feedback trading on return autocorrelation: Evidence for the German stock market. In Aktuelle Entwicklungen im Finanzdienstleistungsbereich (pp. 221-233): Springer.
Bohl, M. T., & Siklos, P. L. (2008). Empirical evidence on feedback trading in mature and emerging stock markets. Applied Financial Economics, 18(17), 1379-1389.
Brown, G. W., & Cliff, M. T. (2005). Investor sentiment and asset valuation. Journal of Business, 78(2), 405-440. doi:Doi 10.1086/427633
Chang, A., Yu, S., Reinstein, A., & Churyk, N. T. (2015). An Overview of Investor Sentiment in Stock Market.
Chang, C.-C., Hsieh, P.-F., & Wang, Y.-H. (2015). Sophistication, sentiment, and misreaction. Journal of Financial and Quantitative Analysis, 903-928.
Chau, F., Deesomsak, R., & Lau, M. C. K. (2011). Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets. International Review of Financial Analysis, 20(5), 292-305. doi:10.1016/j.irfa.2011.06.006
Cutler, D. M., Poterba, J. M., & Summers, L. H. (1990). Speculative Dynamics and the Role of Feedback Traders. American Economic Review, 80(2), 63-68. Retrieved from ://WOS:A1990DA38900013
Dai, Z. M., & Yang, D. C. (2018). Positive Feedback Trading and Investor Sentiment. Emerging Markets Finance and Trade, 54(10), 2400-2408. doi:10.1080/1540496x.2018.1469003
Danielsson, J., & Love, R. (2006). Feedback trading. International Journal of Finance & Economics, 11(1), 35-53.
De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of political Economy, 98(4), 703-738.
Dean, W. G., & Faff, R. W. (2008). Evidence of feedback trading with Markov switching regimes. Review of Quantitative Finance and Accounting, 30(2), 133-151.
Delong, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Positive Feedback Investment Strategies and Destabilizing Rational Speculation. Journal of Finance, 45(2), 379-395. doi:Doi 10.2307/2328662
Edelen, R. M., Marcus, A. J., & Tehranian, H. (2010). Relative Sentiment and Stock Returns. Financial Analysts Journal, 66(4), 20-32. doi:DOI 10.2469/faj.v66.n4.2
Fama, E. F., & Kenneth, R. (1993). French, 1993, Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.
Frazzini, A., & Lamont, O. A. (2008). Dumb money: Mutual fund flows and the cross-section of stock returns. Journal of Financial Economics, 88(2), 299-322.
Graham, J. R., Harvey, C. R., & Huang, H. (2009). Investor competence, trading frequency, and home bias. Management Science, 55(7), 1094-1106.
Greenwood, R., & Shleifer, A. (2014). Expectations of returns and expected returns. The Review of Financial Studies, 27(3), 714-746.
Hu, W. Y., Huang, C. J., Chang, H. Y., & Lin, W. J. (2015). The Effect of Investor Sentiment on Feedback Trading and Trading Frequency: Evidence from Taiwan Intraday Data. Emerging Markets Finance and Trade, 51, S111-S120. doi:10.1080/1540496x.2014.998914
Kaplanski, G., Levy, H., Veld, C., & Veld-Merkoulova, Y. (2015). Do happy people make optimistic investors? Journal of Financial and Quantitative Analysis, 145-168.
Koutmos, G. (1997). Feedback trading and the autocorrelation pattern of stock returns: Further empirical evidence. Journal of International Money and Finance, 16(4), 625-636. doi:Doi 10.1016/S0261-5606(97)00021-1
Kurov, A. (2008). Investor sentiment, trading behavior and informational efficiency in index futures markets. Financial Review, 43(1), 107-127.
Lamont, O. A., & Stein, J. C. (2006). Investor sentiment and corporate finance: Micro and macro. American Economic Review, 96(2), 147-151.
Lebaron, B. (1992). Some Relations between Volatility and Serial Correlations in Stock-Market Returns. Journal of Business, 65(2), 199-219. doi:Doi 10.1086/296565
Lemmon, M., & Portniaguina, E. (2006). Consumer confidence and asset prices: Some empirical evidence. The Review of Financial Studies, 19(4), 1499-1529.
Ling, D. C., Naranjo, A., & Scheick, B. (2014). Investor sentiment, limits to arbitrage and private market returns. Real Estate Economics, 42(3), 531-577.
Massa, M., & Yadav, V. (2015). Investor sentiment and mutual fund strategies. Journal of Financial and Quantitative Analysis, 699-727.
McKenzie, M. D., & Faff, R. W. (2003). The determinants of conditional autocorrelation in stock returns. Journal of Financial Research, 26(2), 259-274.
McKenzie, M. D., & Faff, R. W. (2005). Modeling conditional return autocorrelation. International Review of Financial Analysis, 14(1), 23-42.
Merton, R. C. (1980). On Estimating the Expected Return on the Market - an Exploratory Investigation. Journal of Financial Economics, 8(4), 323-361. doi:Doi 10.1016/0304-405x(80)90007-0
Ni, S. X., & Lemmon, M. L. (2010). The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options.
Salm, C. A., & Schuppli, M. (2010). Positive feedback trading in stock index futures: International evidence. International Review of Financial Analysis, 19(5), 313-322.
Sentana, E., & Wadhwani, S. (1992). Feedback Traders and Stock Return Autocorrelations - Evidence from a Century of Daily Data. Economic Journal, 102(411), 415-425. doi:Doi 10.2307/2234525
Shleifer, A. (2000). Inefficient markets: An introduction to behavioural finance: OUP Oxford.
Simon, D. P., & Wiggins III, R. A. (2001). S&P futures returns and contrary sentiment indicators. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(5), 447-462.
Stambaugh, R. F., Yu, J., & Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics, 104(2), 288-302. doi:10.1016/j.jfineco.2011.12.001
Yang, C., & Zhou, L. (2015). Investor trading behavior, investor sentiment and asset prices. The North American Journal of Economics and Finance, 34, 42-62.
Yu, J., & Yuan, Y. (2011). Investor sentiment and the mean–variance relation. Journal of Financial Economics, 100(2), 367-381.
Zheng, Y. (2015). The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach. The Quarterly Review of Economics and Finance, 58, 128-142.
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