研究生: |
黃禹崴 Yu-Wei Huang |
---|---|
論文名稱: |
投資人情緒指標對台股大盤報酬之影響—以台灣加權股價指數為例 The Impact of Investor Sentiment Indicators and Taiwan Stock Market Return – An Example of TAIEX |
指導教授: |
陳俊男
Chun-Nan Chen |
口試委員: |
謝劍平
Joseph C.P. Shieh 林軒竹 Hsuan-Chu Lin 陳嬿如 Yan-Ru Chen |
學位類別: |
碩士 Master |
系所名稱: |
管理學院 - 財務金融研究所 Graduate Institute of Finance |
論文出版年: | 2019 |
畢業學年度: | 107 |
語文別: | 中文 |
論文頁數: | 37 |
中文關鍵詞: | 台灣加權股價指數 、投資人情緒 、台指選擇權VIX指數 、週轉率 、三大法人買賣超 、未平倉量put/call ratio 、道瓊工業指數 |
外文關鍵詞: | TAIEX, investor sentiment, VIX index of TXO, turnover rate, net position of three institutional investors, put/call open interest ratio, Dow Jones Industrial Average |
相關次數: | 點閱:495 下載:0 |
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在行為財務學中,投資人情緒是時常被探討的議題。本文以台灣加權股價指數為研究對象,以日資料探討投資人情緒指標對台灣加權股價指數報酬率之關聯性,並驗證投資人情緒是否能影響並預測台灣加權股價指數走勢。本文選取之投資人情緒指標包含台指選擇權VIX指數、週轉率、三大法人買賣超比及外資未平倉量Put/Call Ratio;控制變數為道瓊工業指數報酬率。
本文先以ADF單根檢定確保所有資料為定態後,以 White 檢定來檢測迴歸方程是否包含異質變異,再以Newey-West HAC估計式來調整複迴歸模型,最後以敏感性分析驗證前述實證結果的有效性。
本研究結果發現:(1)本文所選取之投資人情緒指標皆對台灣加權股價指數有顯著影響。(2)投資人情緒確實能解釋並預測股價變動。(3)在金融危機下投資人情緒更能明顯體現並預測股價走勢。
In behavioral finance, investor sentiment is often investigated by researchers. This study uses daily data to examine the relationship between the investor sentiment and the return of TAIEX, and to verify whether investor sentiment can influence and can be used to forecast the trend of TAIEX. The indicators for the investor sentiment in this study includes VIX index of TXO, turnover rate, net position of three institutional investors, put/call open interest ratio of foreign investor institution, and the control variable is the return of Dow Jones Industrial Average.
In this study, we first use the Augmented Dickey-Fuller Test to ensure that all series are stationary, and then use the White Test to test whether the regression model exists heteroskedasticity. Next, we employ the Newey-West HAC estimation formula to adjust the regression model. Finally, we provide a sensitivity analysis to verify the empirical results of our regression.
Our findings include: 1. The indicators of investor sentiment selected in this study have a significant effect on TAIEX. 2. Investor sentiment can explain and can be used to forecast the changes of stock prices. 3. During the financial crises, investor sentiment can clearly reflect and can be employed to forecast the trend of stock prices.
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