憂鬱星期一還是憂鬱星期二？異常報酬中的星期效應—台灣證據

Blue Monday or Blue Tuesday? The Day-of-the-week Effect in Anomaly Returns– Taiwan Evidence

林晉賢(Chin-Hsien Lin)

指導教授 ： 戴維芯

國立暨南國際大學/管理學院/財務金融學系/碩士(2024年)

https://doi.org/10.6837/ncnu202400405

摘要

本篇論文根據Birru(2018) 所提出可以明顯區分投機與非投機部位的異常變數，利用這些異常變數建構較受到情緒的影響的投機股投資組合與較不受情緒影響的非投機股投資組合，來探討投資者情緒波動和情緒是否傳染對台灣上市公司股票報酬橫截面的影響。結果發現台灣股市會受到當地投資者情緒波動影響，週一的情緒會下降，導致投機性股票報酬會低於非投機性股票，這個影響在2001年至2021年期間一直都存在著，並且這種一週中觀察到的異常報酬變化在機構持股較低的股票上較顯著，顯示此投資人情緒影響主要來自於散戶投資人，而週五的週末快樂效應在台灣股票市場不存在。至於情緒傳遞或蔓延效果導致的「憂鬱星期二」僅發生在外資持股高的股票中。

關鍵字

投資者情緒 ； 異常現象 ； 投機 ； 情緒傳染 ； 股票報酬的可預測性

並列摘要

According to the anomaly variables proposed by Birru (2018), this study use these anomaly variables to build the speculative (non-speculative) stock portfolios that are more (less) affected by investor sentiment to explore the impact of investor sentiment and sentiment contagious on the cross-sectional stock returns in Taiwan listed companies. The results show that Taiwan's stock market is affected by local investor sentiment. Sentiment will decline on Monday, resulting in speculative stock returns being lower than non-speculative stocks. This effect keeps from 2001 to 2021 and more pronounced for stocks with lower institutional ownership. It shows that the impact of this investor sentiment mainly comes from individual investors. Further, the Friday weekend happy effect does not exist in the Taiwan stock market. Finally, the sentimental contagion effect, "Blue Tuesday", only occurs in stocks with high foreign ownership.

並列關鍵字

Investor Sentiment ； Anomalies ； Speculation ； Mood Contagion ； Stock Returns Predictability

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