過去20年，全球金融市場充斥著有關「黑天鵝事件」的傳聞，許多新聞以「VIX指數達次貸風暴水準」、「市場黑天鵝指數持續飆升」、「金油比持續創新高」、「外資連續多日大幅賣超，市場出現大量賣壓」等斗大的標題，描述當前市場間接情緒指標所隱含對市場的悲觀程度。為了探討這些間接情緒指標是否會顯著影響股價指數的表現，本論文將透過VAR、VECM以及ARDL模型，探討CBOE市場波動率指數、CBOE偏態指數、金價油價比、台指外資買賣超淨額、台指期貨正逆價差這五種情緒指標分別對於S&P 500指數以及台灣加權指數之間的關聯性。

經實證結果發現，S&P 500指數與台灣加權指數之間具有Granger雙向回饋關係，彼此存在短期同向影響，長期而言亦具有穩定之線性關係。CBOE市場波動率指數、CBOE偏態指數皆與S&P 500指數存在Granger雙向回饋關係，其中CBOE市場波動率指數短期會顯著反向影響S&P 500指數的變動，長期則具有負向共整合關係；CBOE偏態指數短期會顯著同向影響S&P 500指數的變動，長期則具有正向共整合關係。金價油價比無論在短期或長期皆無法有效代理市場之恐慌程度。台指外資買賣超淨額、台指期貨正逆價差皆與台灣加權指數呈現Granger雙向回饋關係，另外，台指外資買賣超淨額與台指期貨正逆價差短期會顯著同向影響台灣加權指數的變動，長期則與台灣加權指數呈現顯著的正向共整合關係。

綜合以上，本文推論CBOE市場波動率指數對於台灣加權指數具有反向顯著影響、CBOE偏態指數對於台灣加權指數則有正向顯著影響；另一方面，台指外資買賣超淨額、台指期貨正逆價差對於S&P 500指數則具有正向顯著影響。

本文最後也針對這五種情緒指標的預測能力進行探討，預測S&P 500指數方面，CBOE波動率指數相較於CBOE偏態指數有較優異的預測能力；預測台灣加權指數方面，台指期貨正逆價差相較台指外資買賣超淨額具有較優異的預測能力。

Over the past 20 years, the global financial markets have been full of hearsays about the “Black Swan Events”. Many of headlines were about “ VIX will reach the same level as Financial Crisis.” “The market’s Skew Index continues to soar up.” “Gold-to-Oil Ratio has reached the record high” “Foreign Investors have been oversold for many days in a row, showing lots of selling pressure in the market. ”.It shows that the indirect sentiment indicators may reveal the level of pessimism about the current market conditions. In order to find out whether the fluctuations of these indirect sentiment indicators will significantly affect the performance of stock indexes, we will use VAR, VECM,ARDL model to discuss the relationships between 5 sentiment indicators and 2 stock indexes-CBOE VIX, CBOE Skew Index,Gold-to-Oil Ratio, Net FI buy/sell Position, Spread of TX, S&P 500 index,and TAIEX.

The empirical result shows that it has a Granger feedback relationship between S&P 500 index and TAIEX, and it also reveals a short-term co-directional effect and a steady linear relationship in long run. In addition, CBOE VIX and Skew Index also reveals the Granger feedback relationship with S&P 500 index. Among them, CBOE VIX will be a significant negative relationship with S&P 500 index in short-term period, and also demonstrates a negative cointegration relationship in the long term; CBOE Skew Index will be a significant positive relationship with S&P 500 index in the short term, and also has the positive cointegration relationship in the long term. The change of Gold-to-Oil Ratio could not significantly influence the performance of S&P 500 Index no matter in the short term or the long term. Net FI buy/sell position and Spread of TX are all demonstrated Granger feedback relationship with TAIEX. In addition, these two indicators will significantly affect TAIEX in positive direction in short term. In long run, it also shows a significant positive cointegration relationship with TAIEX.

To sum up, investors will be able to infer that CBOE VIX has a negative impact on TAIEX, Skew Index has a positive impact on TAIEX; on the other hand, we can also infer that Net FI buy/sell position and Spread of TX have positive impact on S&P 500 index.

In terms of predicting the S&P 500 index, CBOE VIX has better prediction capability than Skew Index; on the other hand, Spread of TX has better prediction capability than Net FI buy/sell position.

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