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

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