情緒指標對臺股指數期貨之影響

The Effect of Sentiment Indicator on Return Rate of Taiwan Stock Index Futures

林育如(Yu-Ju Lin)

指導教授 ： 張淑貞

國立虎尾科技大學/管理學院/經營管理研究所/碩士(2012年)

摘要

關於投資人情緒影響其投資行為之過去文獻，大多著重於股票市場而
少應用在期貨市場。此外，過去文獻發現投資人行為易受其情緒變化，呈
現非線性關聯。因此，本文以台灣期貨市場的臺指期商品為研究對象，並
且以其報酬率做為投資人行為績效之衡量指標，並利用北部、西部、東部
與南部的天氣因子(包含溫度、降雨量及日照時數)作為投資人情緒變化之衡
量指標。本文以台灣2000年至2010年的月資料，探討投資人情緒指標與
投資環境對台灣期貨投資人行為績效之影響。在非線性研究方法上，採用
Hansen (2000)門檻迴歸模型以及方法，檢定情緒變化對臺指期報酬率是否
存在門檻非線性效果。
實證結果發現，首先在探討情緒與投資環境變數對臺指期報酬率之影
響方面，各地區皆以臺指期價量與溫度情緒指標具顯著影響效果。其次，
在非線性門檻效果檢定方面，以溫度為門檻變數時，北部及南部發現臺指
期最後成交價對臺指期報酬率之影響具非線性門檻效果；東部地區發現在
臺指期的未平倉量及價格波動程度與拆款利率對臺指期報酬率之影響具非
線性門檻效果。改降雨量為門檻變數時，北部及東部發現臺指期最後成交
價對臺指期報酬率之影響具非線性門檻效果；北部及西部發現拆款利率對
臺指期報酬率之影響具非線性門檻效果。而以日照時數為門檻變數時，西
部發現拆款利率對臺指期報酬率之影響具非線性門檻效果。
最後，在門檻效果部份，發現臺指期最後成交價不論在哪一地區對臺
指期報酬率之影響，皆未受到任何天氣情緒指標影響而改變；皆維持顯著
性正向影響。而臺指期價格坡動程度對臺指期報酬率之影響則於東部地區
受到溫度影響，其於該區溫度 23.52°C具顯著正向影響。而拆款利率對臺
指期報酬率之影響則是受到降雨量及日照時數的影響，其於北部及西部地
區，分別在降雨量>170.17mm、降雨量>137.27mm與日照時數>200.53hr具
顯著正向影響。

關鍵字

期貨市場 ； 投資行為績效 ； 投資人情緒 ； 門檻迴歸模型 ； 門檻效果

並列摘要

About investor Sentiment influence their investment behavior of past literature, mostly focusing on the stock market rather than in the futures market. In addition, past literature found investors easy to emotional changes, rendering non-linear association. Therefore, we used Taiwan stock index futures returns for investors measure the behavioral performance, used north, west, east and south of the weather factors (including temperature rainfall and sunshine hour) as a proxy for changes in investor sentiment indicator. In this paper, we choose Taiwan from 2000 to 2010 monthly data to explore investor sentiment and the investment environment of Taiwan Futures investment performance affect. Our approach of nonlinear used Hansen’s (2000) threshold regression model to examine whether the threshold effect of investor sentiment index on Taiwan stock index futures is existed.
Empirical results found, first is to invest in the exploration of different emotional proxy variables and environmental variables of the impact of Taiwan’s stock index futures returns. The emotional agent variables to determine the most significant impact of temperature on Taiwan’s stock index futures returns. In terms of investment environmental variables regarding Taiwan’s stock index futures open, the most significant effects of Taiwan’s stock index futures occur on the last sold and interbank rates of stock index futures returns.
Secondly, regarding non-linear threshold effects testing; using temperature as a threshold variable, Taiwan’s stock index futures settlement price on stock index futures returns had a threshold effect in the north and south. In addition, Taiwan’s stock index futures' open interest and interbank rates had a threshold effect on the stock index futures' returns in the east. Then, using the changing rainfall as a threshold variable, Taiwan’s stock index futures settlement price on index futures returns had a threshold effect in the north and east, while interbank rates had a threshold effect on Taiwan’s stock index futures' returns in the north and west. Then, using changes to the hours of sunshine as a threshold variable, interbank rates had a threshold effect on Taiwan’s stock index futures' returns in the west.
Finally, the threshold effect found that Taiwan’s stock index futures' had a settlement price regardless of the regional effects of the period, were unchanged by the effects of weather sentiment indicators, and maintained significant positive effects. Taiwan’s stock index futures price volatility influenced stock index futures' returns by temperature effects in the east, at temperatures of 23.52°C, with significant positive effects in the area. Interbank rates on the influence of Taiwan’s stock index futures' returns by temperature and hours of sunshine had significant positive impact effects in the north and west, when rainfall was >170.17mm and >137.27mm, and hours of sunshine were >200.53hr.

並列關鍵字

futures market ； investor sentiment ； investment performance ； threshold regression model ； the threshold effect

參考文獻

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