情緒指標對台灣股市之影響分析

回顧過去之文獻研究普遍重於股市、衍生性商品及期貨之風險變化，對於投資人情緒指標之連動性研究較為缺乏，因此本文研究旨於檢視台灣股市報酬率與台灣投資人情緒指標間之變動關係，又因台灣股市長期受到國際市場影響，尤以美國股票市場影響甚鉅，以美國股票市場之報酬率、美國投資人情緒影響指標與台灣投資人情緒指標，是否足以解釋台灣股票市場情況之反應。本篇文章資料類型係為台灣加權股價收盤指數、美國市場指數與台、美投資人情緒指數，研究期間自2007年1月3日至2018年10月12日，共計使用2,802筆日資料進行實證研究。在樣本期間實證結果發現，當台灣投資人情緒指標為正時，美國投資人情緒指標亦為正值且影響更顯著，意即台灣股價同時受到台、美投資人情緒指標影響且兩者之間互有正向關係；另外，將樣本期間區分出金融海嘯期間與非金融海嘯期間，美國投資人情緒指標於金融海嘯期間對台灣股市影響較非金融海嘯期間更為顯著。

關鍵字

情緒指標；台灣股市；美國股市；迴歸分析；金融海嘯

並列摘要

This study supplements previous research which focused on the changes of risk in the stock market along with their derivatives and futures. In this paper we investigated the Linear-Regression Model within the returns of the Taiwan Stock Market and sentiment indicators of Taiwan investors. However, the international market, particularly the US, has a significant impact on the Taiwan Stock Market. As a result, in this study we further assessed the following factors and their subsequent effect on the Taiwan Stock Market: the return rate of the US Stock Market, the sentiment impact indicators of US investors, and the sentiment indicators of Taiwan investors. In this paper we used The Weighted Price Index of the Taiwan Stock Exchange, U.S. stock market , Taiwan and US investor sentiment index. During the study period, from January 3, 2007 to October 12, 2018, a total of 2,802 daily data were used for empirical analysis. the study. In the conclusion of this study, the empirical results showed that, during the sample period, the average return rate of the Taiwan Stock Market was significantly affected by the return rate of the U.S. stock market and that the sentiment indicator of US investors had a significant impact on the Taiwan Stock Market during the Global Financial tsunami of 2008.