投資者情緒與股價報酬之短期關聯性：漲跌幅限制變化之效果

The effect of price limits relaxation on the relationship between investor sentiment and returns

吳采轅(Tsai-Yuan Wu)

指導教授 ： 胡星陽

國立臺灣大學/管理學院/財務金融學研究所/碩士(2021年)

https://doi.org/10.6342/NTU202101285

摘要

本研究在日頻率之資料下，以整體市場之融資增減比代理投資者情緒變數，探討台灣上市股票市場報酬與投資者情緒之關聯性。並以台股在2015年放寬漲跌幅限制為例，檢驗此衝擊對兩者關聯之影響，並藉此再次回顧放寬漲跌幅限制對改善市場效率之有效性。

在總研究期間下，結果顯示投資者情緒變數於短期內對市場報酬確實具預測能力。其與當日市場報酬具顯著正向關聯性，而與隔日、五日後市場報酬具顯著負向關係，同時累積報酬上之反轉現象則不明顯。另一結果顯示在高交易量期間，情緒變數與報酬間關係更為顯著，符合雜訊投資理論之預期。

在漲跌幅限制模型中，結果顯示在限制放寬前，由投資者情緒所引起之市場報酬趨勢具理論所預測之先行上升、而後反轉之現象；而當限制放寬後，隔日報酬、兩日累積報酬、五日累積報酬項與情緒變數間敏感性降低、反轉現象轉弱。代表由錯誤定價引起之投資人情緒與報酬間關聯性隨限制鬆綁而減弱，支持鬆綁漲跌幅限制具增進市場效率、改善價格修正機制之假說。

關鍵字

投資者情緒 ； 漲跌幅限制 ； 台灣股票市場

並列摘要

The paper discusses the relationship between investor sentiment and stock market return in Taiwan with relatively short-term frequency data. We take the relaxation of price fluctuation limit on the Taiwan stock market in 2015 as an example. To investigate if the relaxation affects the correlation between investor sentiment and asset return, and review the effectiveness of the price limit relaxation on improving market efficiency.

In the whole sample, the results confirm the predictive ability of investor sentiment on market return in the short-term, but the expected tendency of price reversal after several days is not significant. The second results show that the relationship between investor sentiment and market return becomes more statistically significant during periods of high trading volume, which is consistent with noise trading theory.

In the next results, the trends of market return driven by investor sentiment initially rise and later decline before the relaxation of price limit, which is consistent with investor sentiment theory. While the price limit was relaxed, the sensitivity between sentiment and returns in the next few days decreases. The relaxation mitigates the effect of investor sentiment and mispricing caused by irrational trading. The results support the hypothesis that the relaxation improves market efficiency and price correction mechanism.

並列關鍵字

Investor sentiment ； Price limit ； Taiwan stock market

參考文獻

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