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Author: 林依儒
Yi-Ju Lin
Thesis Title: 探討經濟變數、投資人情緒及指數型基金三者間之交互關係
Exploring the Interaction between Economic Variables, Investor Sentiment and Index Funds
Advisor: 陳俊男
Chun-Nan Chen
Committee: 陳俊男
Chun-Nan Chen
謝劍平
Jian-Ping Hsieh
林軒竹
Hsuan-Chu Lin
陳嬿如
Yan-Ru Chen
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2022
Graduation Academic Year: 110
Language: 中文
Pages: 40
Keywords (in Chinese): 經濟變數投資人情緒向量自我迴歸模型股市連動性
Keywords (in other languages): Economic Variables, Investor Sentiment, VAR, Stock Market Correlation
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  • 近年散戶投資人於股市佔有舉足輕重的地位,是不可忽視的波動因子,再加上效率市場假說之正確性有待驗證,其無法解釋多數市場現象,進而推動許多學者研究投資人情緒的契機,但因為前述研究多數僅探討投資人情緒與市場表現之關聯,故本論文新增經濟變數,以更全面的角度分析經濟、投資人情緒及市場三者間之交互作用。

    本研究應用Christopher Sims(1980)提出的向量自我迴歸模型(VAR),探究消費者物價指數(CPI)、M2貨幣供給量(M2SL)、消費者情緒指數(UMCSENT)、CBOE市場波動率指數(VIX)、元大50卓越50基金(_0050_TW)及iShares費城交易所半導體ETF(SOXX)間之相關性。實證結果顯示,三者間具有互相預測之能力,CPI對於VIX及_0050_TW具有長期預測能力,SOXX亦能預測VIX,故符合經濟變數預測市場變數,進而預測情緒變數之假設。在市場連動性方面,SOXX與_0050_TW具有雙向回饋之關聯,驗證美國與台灣市場具有連動性。最後,藉由敏感性分析,分別新增商業信心指數及Nasdaq指數基金得知三者變數間之關聯轉變為情緒指標可預測經濟變數,經濟變數進而預測市場走向之結果。

    如上所述,可以發現經濟、投資人情緒及市場表現三項因素互相牽動及影響,於進行投資決策時,需綜合考量多種情況,以利進行有效的資產配置。


    Individual investors are crucial in the stock market today. Furthermore, since the validity of the efficient market hypothesis has yet to be verified, and its inability to explain most market events, has motivated many academics to investigate investor sentiment. However, most of the previous studies focused solely on examining the relationship between investor sentiment and market performance. This study includes economic variables to evaluate the economy, investor sentiment, and market interaction in greater depth.

    The correlation between Consumer Price Index(CPI), M2(M2SL), University of Michigan: Consumer Sentiment(UMCSENT), Chicago Board Options Exchange Volatility Index(CBOE VIX), Yuanta Taiwan Top 50 ETF(_0050_TW) and iShares Semiconductor ETF(SOXX) is investigated using the vector autoregressive model (VAR) introduced by Christopher Sims (1980). Empirical findings indicate that the three variables can predict each other. In the long term, CPI and _0050 TW can both predict VIX, and SOXX can also predict VIX, hence, it is consistent with the hypothesis that economic variables predict market variables, which in turn predict sentiment variables. In terms of market connectivity, SOXX and _0050_TW have a two-way feedback correlation, validating the connectivity between the U.S. and Taiwan markets.

    Finally, the sensitivity analysis of adding two proxy indicators, the Business Confidence Index and the Nasdaq Index Fund, reveals that the correlation between the three variables is transformed into another correlation mode. Sentiment variables predict economic variables, which in turn predicts market direction.

    As mentioned above, we can see that the economy, investor sentiment, and market performance are interrelated and affect each other. To support appropriate asset allocation, it is vital to consider a variety of circumstances while making investment decisions.

    第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 2 第三節 研究架構 2 第二章 文獻探討 3 第一節 經濟與情緒變數之關聯 4 第二節 經濟與市場變數之關聯 5 第三節 情緒與市場變數之關聯 6 第四節 市場連動性 9 第三章 研究方法 11 第一節 資料來源及期間 12 第二節 研究假設 12 第三節 變數選擇及衡量 13 第四節 實證模型及檢定 19 第四章 實證結果與分析 23 第一節 敘述統計分析 23 第二節 單根檢定 24 第三節 VAR模型實證結果 25 第四節 衝擊反應分析與變異數分解 27 第五節 敏感性分析 33 第五章 研究結論及建議 35 第一節 研究結論 35 第二節 研究建議 36 參考文獻 37

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