臺灣博碩士論文加值系統

財金新聞報導在現今社會中是最便利且即時的資訊來源，這些新聞可以使投資者及一般大眾即時獲得公司與管理階層發布的年度營運表現、財務狀況以及其他重要消息。在今日，投資者決定是否要投資一家公司時，除了參考外資、投信報告、財務報表外，也會閱讀新聞報紙。新聞報紙在傳播消息給投資大眾時扮演著重要的角色。隨著網路科技的發達，投資人可以接觸到許多財金新聞，並看到某些新聞上的關鍵字詞，進而直接影響投資人的買賣決策。因此本研究利用人工判讀擷取新聞關鍵字詞，判斷每個關鍵字詞對股市產生正向/負向的影響，進而探討股價波動性與財金新聞間之關聯性。
本研究以台灣62家上市公司為研究對象，樣本期間為2010年至2014年，來探討股價波動性與財金新聞間之關係。結果顯示，股價波動性與新聞有顯著相關，且股價波動性會受到當天、昨天以及前天的新聞所影響。再者，投資人的情緒(TONE)和股價波動性有顯著負相關、該公司被新聞報導之數量(QUANTITY)與股價波動性有顯著正相關。

Financial news articles are the most convenient and timely source of information in today’s world. These articles help investors and the general public obtain any company-specific information such as operational performance, financial condition, and other major issues almost instantly. Nowadays, most investors make their investment decisions not only on the basis of foreign investment reports, investment trust reports, and financial reports but also financial news. Newspapers play an important role in disseminating information to broad audience, especially to individual investors. With the advancement of information technology, investors are able to catch a lot of financial news articles. The specific keywords featured on such articles directly affect investors’ trading decisions. This study uses manual interpretation to extract the keywords. Next, this study determines the positive or negative sentiment of each keyword toward the stock market. Furthermore, this study focuses on the association between stock price volatility and news sentiment.
This study uses 62 listed companies in Taiwan Stock Exchange (TWSE) during the five-year period 2010-2014 to empirically examine the association between the stock price volatility and financial news. The results show that both financial fundamentals and news are associated with stock price volatility. In addition, the stock price volatility is affected by today’s news, the day before news, and the day before yesterday news. Furthermore, both TONE and the quantity of news (QUANTITY) have significant explanatory power for stock price volatility.

1. INTRODUCTION 1
1.1 RESEARCH MOTIVATION AND PURPOSE 1
1.2 RESEARCH PROBLEM 7
1.3 RESEARCH PROCESS 8
2. LITERATURE REVIEW 10
2.1 STOCK PRICE VOLATILITY 10
2.2 FACTORS THAT INFLUENCE STOCK MARKET 12
2.3 MEDIA COVERAGE AND STOCK MARKET 14
2.4 SENTIMENT ANALYSIS FOR NEWS 18
2.5 SUMMERY 20
3. RESEARCH METHOD 21
3.1 RESEARCH HYPOTHESIS 21
3.2 DATA COLLECTION 24
3.3 RESEARCH DESIGN 26
3.4 RESEARCH MODEL 29
3.4.1 DEPENDENT VARIABLE 33
3.4.2 INDEPENDENT VARIABLE 33
3.4.3 CONTROL VARIABLE 34
4. RESEARCH RESULTS AND ANALYSIS 37
4.1 DESCRIPTIVE STATISTICS 37
4.2 EMPIRICAL RESULTS 43
5. CONCLUSION AND DISCUSSION 47
5.1 RESEARCH DISCUSSION AND CONTRIBUTION 47
5.2 LIMITION AND FUTURE RESEARCH WORK 49
APPENDIX 51
REFERENCES 71

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