考慮投資人情緒下新聞對成交量之影響

報章媒體時常釋出正負面兩極的新聞，新聞多寡是否暗示著投資人注意股市的程度進而預告成交量的增減，抑或是投資者是否會因為消息較為正面而增加交易呢？然而新聞來源眾，本研究主要針對經濟日報的頭版、國際版、兩岸版、金融版和上市櫃公司版等五大版面的標題，探討新聞量、新聞情緒和含有數字的新聞量是否對台股上市公司成交量有正面的貢獻，並進一步加入了投資人情緒觀察差異。資料處理近四萬筆新聞，使用語意分析透過情緒字典將標題資料分類，最後採用多元迴歸、混合迴歸及固定效果模型進行實證。實證結果顯示新聞報紙標題確實會影響成交量，研究發現當新聞量越高或報導越正面時，成交量明顯增加。本研究認為新聞情緒的部分，經濟日報傾向正面報導且正面新聞對成交量影響之效果優於負面新聞。而新聞標題內含有數字之資訊相較於其他變數，對投資人而言吸引力不大，論個別模型下數字資訊多寡則會影響成交量。本文比較不同版面，其中上市櫃版面為最主要影響，而頭版則不顯著。上述結論再加入投資人情緒後不會改變，其中機構法人情緒不顯著，而其餘情緒並無法區分效果大小差異。此外，在高散戶投資人情緒下，新聞對於成交量的影響更勝於低散戶投資人情緒。最後，在不同產業分組下組間具有顯著差異，而新聞和投資人情緒仍會影響成交量。

關鍵字

財經報紙；成交量；新聞情緒；情緒分析；投資人情緒

並列摘要

Media coverage often released positive or negative news to public. Did the news amount imply that the degree of investor’s attention could predict the changing of stock’s trading volume or not? Did investor raise his transactions because of more positive news or not? This thesis only discussed the news headline about the page like front, global, cross-strait, finance and listed company. In this article, we studied whether news which were the volume of news, news sentiment and the volume of the news contained number could have the positive impact to trading volume of TAIEX or not? The news headline about forty thousand data were used to run sentiment analysis by both sentiment dictionary and programing. The empirical result was that the headline in Economic Daily News actually had an influence on the trading volume of TAIEX. When the newspaper was higher amount or more positive, the trading volume would increase. According to this article, Economic Daily News tended to report positive news. While news was positive, the impact of it on the trading volume was bigger. Furthermore, investor paid the lowest attention to the news title contained numbers than other news. However, all news factors based on the separate individual model could affected trading volume. The result adding the variable of investor sentiment wasn’t changed. Institutional investor sentiment was statistically insignificant, but the other two weren’t. However, the result wasn’t able to identify the size of effect between them. Moreover, news’ effect on trading volume tended to be stronger when individual investor sentiment was high.

並列關鍵字

Financial newspapers ； TAIEX trading volume ； news sentiment ； sentiment analysis ； investor’s sentiment

參考文獻

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[31]. 林宜萱 (2013)，財經領域情緒辭典之建置與其有效性之驗證-以財經新聞為元件，《臺灣大學會計學研究所學位論文》，1-60。

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[1]. Antweiler, W. and M. Z. Frank (2001), “Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards”, Journal of Finance, 59(3), 1259-1294.

[2]. Baker, M. and J. C. Stein (2004), “Market liquidity as a sentiment indicator”, Journal of Financial Markets, 7(3), 271-299

國際替代計量

考慮投資人情緒下新聞對成交量之影響

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