臺灣博碩士論文加值系統

本研究將檢驗Baker and Wurgler(2006)所建立的情緒指標對於S&P500指數的報酬、波動性、流動性是否能有預測力。以及更改建構情緒指標中的一些步驟，觀察結果是否會有差異。本研究實證結果發現Baker and Wurgler(2006)的情緒指標並不能良好預測S&P500指數的報酬、波動性、流動性，尤其是以滾動式的方式編製情緒指標時幾乎沒有任何預測力。

This thesis examines whether sentiment indexes proposed by Baker and Wurgler (2006) and its modifications can predict return, volatility and liquidity of S&P500 index. Moreover, this research investigates the differences by altering some critical steps of compiling the sentiment index proposed by Baker and Wurgler (2006). Empirical tests show that the sentiment index proposed by Baker and Wurgler (2006) and its modifications cannot predict return, volatility and liquidity of S&P500 index well, especially when rolling window scheme is adopted.

第一章、 緒論 1
第二章、 文獻回顧 3
2.1 情緒相關文獻 3
2.2 Baker and Wurgler情緒指標 4
2.3 Baker and Wurgler情緒指標的有效性 6
第三章、 研究樣本與研究方法 7
3.1 情緒代理變數 7
3.2 景氣循環變數 8
3.3 股票指數應變數 9
3.4 編製情緒指標 11
3.5 迴歸分析 16
3.6 敘述統計 17
第四章、 實證結果 19
4.1情緒指標不同編製方法對股票指數的預測 19
4.2 情緒指標增加變數對股票指數的預測 23
4.3 滾動式情緒指標對股票指數的預測 28
4.4 情緒代理變數直接對股票指數預測 32
4.5 穩健性測試 35
第五章、 結論 36
參考文獻 38
附錄A、情緒指標變化量對S&P500報酬預測 41
附錄B、滾動式情緒指標變化量對S&P500報酬預測 43
附錄C、滾動式9變數情緒指標對股票指數預測 45
附錄D、9情緒代理變數直接對股票指數預測 49

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