本研究探討台灣與中國股票市場受投資人情緒影響之情況，同時分析公司規模、股價淨值比與市場散戶比重對投資人情緒之影響。本研究以市場周轉率、資券餘額比、IPO發行數量與漲跌比率為情緒之代理變數，並排除總體經濟因素影響，以主成份分析建構綜合情緒指標。
本研究分別利用CAPM與Fama-French三因子模型加上綜合情緒指標進行迴歸分析，結果顯示在CAPM模型的假設下，台灣之投資人情緒愈高將使個股超額報酬降低，而在三因子模型假設下，台灣個股之結果與前述相同，而中國個股受影響之情況則與台灣相反。
本研究也發現無論台灣或中國，公司規模對投資人情緒之影響程度並無顯著差異；而中國之高股價淨值比公司較低股價淨值比公司更容易受投資人情緒影響。最後，本研究發現散戶比率較高之中國，其個股受投資人情緒影響之比率也較高，但單一個股受影響程度則小於台灣個股。

We study how investor sentiment affects the stock markets in Taiwan and China, and analyzes the impact of company size, price book ratio and the ratio of individual investor on investor sentiment. We use turnover rate, financing bearing ratio, the number of IPO and advance decline ratio as the investor sentiment proxies to construct the sentiment index by the first principal component analysis.
We use CAPM model and Fama-French three-factor model for regression analysis. The result of the former shows that the higher the investor's sentiment is, the lower stock excess return will be in Taiwan, while the latter shows that investor sentiment has same impact in Taiwan as the former, but has opposite influence in China.
We also find that the impact of investor sentiment has no difference between large and small company no matter in Taiwan or China. However, it seems that companies which have higher price-to-book ratio are easily being effected in China. The last thing we discover is that investor sentiment has wider impact on Chinese Stock market, but more significant on the individual stock in Taiwan.

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