摘要 本研究探討台股中之電子類股指數報酬率與情緒指標之相互關係,研究期從間2008年1月1日至2010年12月31日。採用多元迴歸分析、羅吉斯迴歸 (Logistic Regression)與Granger因果關係檢定。 實證結果發現:在各模型檢驗下,以法人買賣超的增減(正指標)與選擇權買賣之成交比率(反指標)均能提供良好之參考;空頭時期的法人買賣超的增減、電子類股期貨與現貨價差與費城半導體指數報酬可做為正指標,多頭時期則僅法人買賣超的增減一項具顯著正向效果。 本研究從羅吉斯迴歸分析之結果也發現當法人買賣超增減的會增加市場多頭的機率,但選擇權買賣成交之比率的增加反而會減少市場多頭的機率。 另在因果關係上,法人買賣超的增減與費城半導體指數的報酬會領先電子類股指數報酬,但選擇權買賣之成交比率與資劵比則是落後電子類股指數報酬。
Abstract This study examines the correlation between market sentimental indicators and electronics industry stock returns. The sample was obtained from January 1, 2008 to December 31, 2010. Multiple regression analysis, Logistic regression and Granger causality methods are employed. Empirical findings indicate that: In each model examination, the change in the net sales of professional institutional investors and stock option sales ratio could both provide reliable references. In bear market, price difference between electronics stock sales and futures can be used as the positive indicators, same as PHLX semiconductor index returns, but in the bull market only the change in the net sales of professional institutional investors have the positive. Logistic regression result also pointed out that the change in the net sales of professional institutional investors increases the market multi-thread the probability, However, stock option sales ratio reduces the market multi-thread the probability. On the other hand, in causality, the change in the net sales of professional institutional investors and PHLX semiconductor index returns are ahead of electronic stock index returns. Stock option sales ratio and short-to-long ratio, however, are opposite.