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研究生:莊雅筑
研究生(外文):Chuang, Ya-Chu
論文名稱:中美貿易戰爭對台灣股票報酬率的影響─以google搜索量分析
論文名稱(外文):How Does U.S.-China Trade War Affect Taiwanese Stock Returns──Using Google Search Volumes
指導教授:蔡群立蔡群立引用關係
指導教授(外文):Tsai, Chun-Li
口試委員:胡政成林姿妤
口試委員(外文):Hu, Cheng-ChengLin, Tzu-Yu
口試日期:2021-06-28
學位類別:碩士
校院名稱:國立成功大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2021
畢業學年度:109
語文別:中文
論文頁數:104
中文關鍵詞:Google搜尋量指數中美貿易戰爭台灣股票報酬率投資人關注度
外文關鍵詞:Google search volumeU.S.-China Trade WarTaiwanese Stock ReturnsInvestor Attention
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2018年至2019年,因中美貿易戰爭開打,使全球金融市場充滿不確定性,台股更是因此在2018年底跌破萬點大關。於是本文使用2017年-2019年940間上市公司為研究樣本,並以行為財務學之觀點切入,自經濟日報中萃取出形容中美貿易戰事件共44個關鍵字,生成「Google搜尋量指數」作為投資人注意力代理變數,再透過用追蹤資料(panel data)進行實證分析來探討投資人注意力是否會影響台灣股票報酬。

實證結果顯示,在控制Fama and French(1993)三因子與金融業隔夜拆款變動率後,Google搜尋量指數與股票報酬率呈現負向關係,表示投資人關注度提升引發恐慌情緒,股票受到賣壓造成的股價下跌。同時以美國各階段宣告課稅清單,瞭解投資人關注度在宣告課稅後5天營業日內,是否會因產業特性對各產業報酬有不同影響。其中我們捕捉到了投資人對第一手消息產生負面的恐慌情緒,有短期賣壓的現象,一段時間後便會出現向上修正或是趨於平穩,而對第二手的消息更有可能因投資人對訊息掌握度的自信而買進股票,出現短期正向報酬,但同樣於一段時間後便出現負向修正或是趨於平穩。不僅如此,我們發現投資人關注對特定產業中股票報酬存在價格壓力假說現象,短期內出現高報酬是因價格壓力所致,長期將出現反轉。也就是說,投資人關注度將產生逆轉效應,5天的宣告期間與非宣告期間投資人關注度對股票關注度的影響並非一致,影響的方向將依產業的不同與課稅消息是否已經宣告過而有不同結果,但逆轉效應始終存在。
This article aims to explore the impact of investor sentiment on Taiwan's stock market during the U.S.-China Trade War. A total of 44 words were extracted from 2,646 news articles on the U.S.-China Trade War in the Economy Daily News, and used Google search volume to construct the investor attention index to measure investors’ daily attention to the trade war, then use panel data regression model for empirical analysis.

This study finds that that after the trade war, investor attention has a significant negative relationship with Taiwan's stock returns. In addition, by observing the impact of investor attention on stock returns within five days after the tariff list was released by the United States at different time, It is found that investors have a negative panic about the news that first appeared, resulting in short-term selling pressure, and after a while, there will be an upward correction or a level of stability. For the second news, investors may buy stocks because of their confidence in the information mastery, and there will be short-term positive returns, but after a while, there will be a negative correction or a level of stability.
In other words, investor attention will have a reversal effect, and the direction of the impact will have different results depending on the industry and whether taxation news has been announced, but the reversal effect will always exist.
目錄
第一章 緒論 1
第一節 研究背景與動機1
第二節 研究目的10
第三節 研究架構 11
第二章 文獻回顧 12
第一節 注意力指標與Google搜尋量指數應用在財務領域之相關文獻 12
第二節 影響股價報酬因子之文獻 16
第三節 中美貿易戰之相關文獻 18
第三章 資料來源與研究方法 29
第一節 資料處理 29
第二節 研究假設 30
一、中美雙方實體課稅清單以及加徵關稅對中國產業造成的損害 30
第三節 變數定義與資料來源 55
一、應變數 55
二、自變數 56
第四節 研究方法與模型 60
一、Panel Data 模型 60
二、迴歸模型選擇 62
三、實證模型設定 64
第四章 實證結果與分析 69
第一節 敘述統計與相關性分析 69
一、全樣本敘述統計 69
二、Panel Data 敘述統計 70
三、相關性分析 71
第二節、Google搜尋量指數對股票報酬影響 72
一、實證模型檢定及選用 72
二、模型實證結果 73
第三節、Google搜尋量指數對各產業股票報酬影響 76
第五章 結論與建議 93
第一節 研究結論 93
第二節 研究建議 95
參考文獻 96
繁體中文參考文獻
(1).期刊
李永隆、杜玉振(2017),「Google搜尋量指數對臺灣股票報酬與成交量之影響.」,管理與系統 24(4),565-590.

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何怡滿、陳雯琪(2019),「投資人關注度對台灣50指數成分股之股票報酬與公司績效的影響」,屏東大學學報-管理類(2),73-103.

謝順峰、葉國俊 (2019),「美中貿易衝突對臺灣經貿與金融之可能影響與因應」,財稅研究第,48(1),110-144

謝嘉豪(2020),「美中貿易爭端對我國經濟之影響-以附加價值貿易統計進行評估」,經濟研究,20(3),185-213

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(2).學位論文
黃偉勲(2019),「Google搜尋量指數在中美貿易戰是否影響股價指數?」,淡江大學財務金融學系碩士班



簡體中文參考文獻
(1).期刊
陳宏和馬學俊(2019),「中美貿易摩擦的經濟影響分析——基於GTAP模型。」,揚州大學學報(人文社會科學版),23(06)

周政寧和史新鷺(2019),「貿易摩擦對中美的影響:基於動態 GTAP 模型的分析。」,國際經貿探索,2019 (02)

(2).學位論文
劉午韶(2020),「中美貿易摩擦的貿易效應研究」,河北大學經濟學研究所碩士論文.


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