投資人情緒對股票市場之影響 — 以台灣50成份股為例

本文以台灣50成份股為例，研究2006年3月1日至2011年3月25日之日資料，探討前期及本期情緒對大型股、小型股、投機股、穩健股、電子股、金融股及傳產股等類股的本期報酬影響，在多空時期下情緒是否會有改變。經實證結果顯示：不論面對哪一類股之情緒指標與本期報酬呈正向關係，且與下期報酬呈正向關係，這意味著短期內，投資人情緒樂觀（悲觀）會推升（拉低）未來股價報酬，結論與其他研究實證結果不同。在多空時期下，大（小）型股在空（多）頭時期相對較多（空）頭時期易受情緒指標所影響，顯示投資人在空頭時期的悲觀情緒影響下對未來股價之不確定性，故選取大型股為長期投資標的，而在多頭時期因小型股的股價具有爆炸性利益，而使投資人樂觀的由大型股轉進小型股。

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並列摘要

This study discuss the present returns impact of former and present sentiment on large-cap stocks, small-cap stocks, speculative stock, blue-chip stock, electronics stocks, financial stocks and conventional stocks by Taiwan 50 index stocks. And whether the sentiment changes under the period of bull and bear market. The empirical results show that no matter what kind of stocks' sentiment index, them showed positive relation to present returns. And it also showed positive relation to the next returns. This points out that in the short-term, the optimistic （pessimistic） emotion of investors will push up （pull down）the future stocks returns. The conclusion is different from other empirical results. During the period of bull and bear market, compare to the period of bull market, when large-cap stocks （small-cap stocks） is under the period of bear market （bull market）, it is much to be influenced by sentiment index. This reveals that when investors are under the impact of pessimistic emotion during the period of bear market, they are uncertain toward the future stock prices. Therefore they tend to choose Large-cap stocks as their long-term investment targets. When it comes to the period of bull market, however, due to the explosive interests of the small-cap stocks, investors turn to choose Large-cap stocks optimistically instead of small-cap stocks.