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Author: 施喻繻
Yu-Ru Shih
Thesis Title: 運用文字探勘技術探討公開資訊內容、股價報酬率和專業機構投資人交易行為之關聯性:以臺灣電子業上市公司為例
Research the Relationship of Public Information, Stock Returns and Institutional Investors’ Trading Behaviors by Text Mining Technique: Evidence from Taiwan Listed Electronic Stock
Advisor: 徐中琦
Jon-Chi Shyu
Committee: 劉邦典
Pang-Tien Lieu
陳俊男
Chun-Nan Chen
謝亦泰
Yi-Tai Seih
Degree: 碩士
Master
Department: 管理學院 - 企業管理系
Department of Business Administration
Thesis Publication Year: 2015
Graduation Academic Year: 103
Language: 中文
Pages: 69
Keywords (in Chinese): 公開資訊文字探勘股價報酬率專業機構投資人
Keywords (in other languages): LIWC
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  • 本研究以臺灣股票市場中電子類指數成分股暨市值比重前15大之上市公司為研究對象,研究期間為2014年1月1日至2014年12月31日,使用Panel Data迴歸模型,運用文字探勘技術-LIWC,探討個別公司、產業與總體經濟資訊內容、股價報酬率與專業機構投資人交易行為之關聯性;專業機構投資人分為外資、投信與自營商。
    研究結果顯示:(1)個別公司及總體經濟資訊內容與股價報酬率存在正向影響關係,當日個別公司及總體經濟新聞資訊發佈利多(空)消息,確實能使股價報酬率上升(下降)。(2)個別公司新聞資訊與外資和⾃營商交易行為存在正向影響關係,當日個別公司新聞資訊發佈利多(空)消息時確實會吸引外資與自營商買(賣)超該個股;除個別公司新聞資訊外,當產業新聞資訊發佈正(負)面消息時,會吸引外資買(賣)超電子相關類股。(3)個別公司和總體經濟新聞資訊與自然人投資人交易行為存在關聯性且自然人投資人交易行為與專業機構投資人完全相反;當日個別公司新聞資訊發佈利多(空)消息時,會導致自然人賣(買)超該個股。


    The study used the top 15 companies of market value in Taiwan Electronic Stock Market, using Panel Data regression model and text mining technique-LIWC to examine the relationship between Firm-Specific, Industry and Macroeconomics public information, stock returns and institutional investors’ trading behaviors from 2014/1/1 to 2014/12/31.
    The empirical results of this study are:
    (1)Firm-specific and Macroeconomics information are positively related to stock returns. The relationship means that good daily firm-specific and macroeconomics news would make positive stock returns but bad daily firm-specific and macroeconomics information would make negative stock returns.
    (2)Firm-specific information is positively related to foreign investors’ and security dealers’ trading behavior. In addition to the good(bad) daily macroeconomics news would attract foreign investors to buy(sell) electronic stocks. Particularly, all kinds of information have no influence on investment trusts’ trading behavior.
    (3)Firm-specific is negative and Macroeconomics information is positive related to retail investors’ trading behaviors which is opposite to foreign investors’ and security dealers’ trading behaviors.

    摘要 Ⅰ Abstract Ⅱ 致謝 Ⅲ 目錄 Ⅳ 圖表索引 Ⅴ 第一章 緒論 1 1.1 研究背景與動機 1 1.2 研究目的 4 第二章 文獻回顧 6 2.1 資訊內涵與股價報酬率之關聯性 6 2.2 專業機構投資人之交易行為與股價報酬率之關聯性 12 2.4 文字探勘軟體-LIWC在財務金融領域之應用 15 第三章 研究方法 18 3.1 研究變數 18 3.2 研究模型 30 3.3 資訊內涵樣本搜集方法與LIWC軟體操作流程 31 3.4 縱橫資料(Panel Data) 35 第四章 實證結果 39 4.1 敘述統計 39 4.2 Pearson相關係數與共線性診斷 42 4.3 最適Panel Data模型選擇 45 4.4 實證結果分析 46 第五章 結論 51 5.1 研究結論 51 5.2 實務建議 55 5.3 研究限制與後續研究 56 參考文獻 59

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