總體經濟環境的變動,會讓投資人心理恐慌,影響投資人的行為,本研究以2008年金融海嘯為分界點,探討金融海嘯前後,投資人情緒是否會對股票報酬造成影響,而在股票類型方面,選擇投機型股票為研究標的,因其報酬起伏明顯,比其他類型股票較能看出差異,以股票報酬波動性及投機特徵判斷投機程度,而在投資人情緒方面,則使用9個單一情緒指標及多變數複合情緒指標,而後9個指標再分成三族群。實證結果,三個族群的情緒指標與股票報酬波動性,在金融海嘯前皆顯示無影響,而在金融海嘯後,三項指標對報酬有顯著的影響;投資人情緒與投機特徵之報酬方面,個別指標有符合假設之情況,以族群來看,金融海嘯前,皆至少有一指標有影響,而金融海嘯後,大型投資人卻無明顯影響。另外,多變數複合情緒指標與報酬波動性、投機特徵之報酬,不論在金融海嘯前後,均無顯著影響。
Changes in general economic conditions,let investors psychological panic, affecting the behavior of investors, this study 2008 financial crisis as a dividing point to explore the financial tsunami around investor sentiment whether they would affect stock returns, and in the types of stocks, speculative stocks selected for the study of the subject, because of its obvious rewards and downs, Than other types of stocks can see the difference compared to the stock return volatility and speculative characteristics determine the degree of speculation, but in terms of investor sentiment, Using nine single sentiment indicators and multivariate composite sentiment indicators, and then nine indicators are subdivided into three groups.The empirical results, three ethnic sentiment indicators and stock return volatility, before the financial crisis are showing no effect, but after the financial tsunami,Three indicators have a significant impact on returns; investor sentiment and speculative characteristics of the remuneration, the individual indicators in compliance with the assumptions circumstances, In ethnic terms, before the financial crisis, all have at least one indicator influential, and the financial tsunami, but no significant impact on large-scale investors.In addition, multivariate composite sentiment index and return volatility, speculative characteristics remuneration, whether before the financial tsunami, there was no significant impact.