投資者情緒對股票報酬波動度的影響

本文旨在探討前期投資者情緒對當期股票報酬波動度的影響，使用周轉率（TOR）、三大法人買賣超（IIBS）以及券資比（SMR）作為市場、機構與散戶投資者情緒的代理變數，並使用每日報酬計算每月實質波動度。研究結果發現，市場與機構(散戶)投資者情緒愈樂觀(悲觀)，實質波動度會愈大。進一步探討投資者情緒對正波動度與負波動度的影響，發現市場與機構投資者(散戶)情緒愈樂觀(悲觀)，正波動度、負波動度會愈大。而利用景氣對策信號（MI）以及臺指選擇權波動率指數（VIX）區分市場狀態後，發現周轉率（TOR）、三大法人買賣超（IIBS）以及券資比（SMR）在熱絡與低迷市場皆普遍影響股票報酬波動度，而在高波動與低波動市場，僅周轉率（TOR）與券資比（SMR）影響股票報酬波動度。最後，周轉率（TOR）對股票報酬波動度具有較高的解釋能力。

關鍵字

投資者情緒；股票報酬波動度；市場狀態

並列摘要

This paper studies the impact of past investor sentiment on stock return volatility. We use the turnover rate (TOR), the institutional investor net trade amount (IIBS), and the short sale and margin purchase ratio (SMR) as proxy variables for market, institutional and retail investor sentiment, and use daily returns to calculate monthly realized volatility (RV). Our empirical findings show that more optimism (pessimism) among market and institutional (retail) investors leads to increased realized volatility. Further analysis of the impact of investor sentiment on positive and negative volatility reveals that more optimism (pessimism) among market and institutional (retail) investors leads to increased positive and negative volatility. After distinguishing market states using the monitoring indicators (MI) and the taiwan volatility index (VIX), it is found that the turnover rate (TOR), the institutional investor net trade amount (IIBS) and the short sale and margin purchase ratio (SMR) can generally affect stock return volatility in both active and sluggish markets, while in high-volatility and low-volatility markets, Only the turnover rate (TOR) and the short sale and margin purchase ratio (SMR) affect stock return volatility. Finally, turnover ratio (TOR) have a high explanation on stock return volatility.