恐懼與貪婪指數，利率和通膨對納斯達克指數影響之探討

An Exploration of the Effects of Fear and Greed Index, Interest Rates, and Inflation Rates on the NASDAQ Index.

高崝崴(Cheng-Wei Gao)

指導教授 ： 聶建中

共同指導教授 ： 陳達新(Dar-Hsin Chen)

淡江大學/商管學院/財務金融學系碩士班/碩士(2023年)

https://doi.org/10.6846/tku202300360

摘要

本研究使用Granger and Teräsvirta (1993)和Teräsvirta (1994)所提出的平滑移轉自我迴歸(Smooth Transition Autoregression, STAR)模型，進行恐懼與貪婪指數(Fear ＆ Greed Index)在不同的區間當中，美國股市是否受利率，通貨膨脹率和恐懼與貪婪指數所影響探討。
研究首先實證得到模型設定應為指數型平滑移轉自我迴歸(ESTAR)函數模型，進一步得到39.777之恐懼與貪婪指數門檻值，亦即於39.777之恐懼與貪婪指數附近及偏離門檻值時呈現兩個不同區間。研究最後發現無論在何區間，本研究恐懼與貪婪指數對那斯達克100報酬率之影響皆不顯著。意即無論恐懼與貪婪指數在哪個區間，對那斯達克100報酬率不會產生顯著之影響；通貨膨脹率和利率在恐懼與貪婪指數便離門檻值時呈現與那斯達克報酬率呈現顯著正相關之影響。意即恐懼與貪婪指數在偏離門檻值時，利率及通貨膨脹率對那斯達克100報酬率產生顯著之影響。

關鍵字

指數型平滑移轉門檻自我回歸模型 ； 恐懼與貪婪指數 ； 利率 ； 通膨 ； 那斯達克100指數

並列摘要

This study employs the smooth transition autoregressive model elaborated by Granger and Teräsvirta (1993) and Teräsvirta (1994) to empirically investigate the non-linear impact of the stock price of the.NASDAQ 100 shareholdings in American stock market.
The result firstly shows that the appropriate model to be adopted should be the ESTAR model. The study further finds a threshold value of 39.777 of Fear and Greed Index, which indicates two regimes, around and depart from the threshold value, have been confirmed. Finally, the empirical result shows no any significant impact of the stock price of the shareholdings in America stock market The inflation rate and interest rate can have varying degrees of impact on the NASDAQ 100 index.

並列關鍵字

Fear Greed Index ； Inflation ； Interest Rate

參考文獻

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