- 學位論文
散戶投資者情緒與上櫃公司股價報酬率關係之研究
Retail Investors Sentiment and Stock Return of Over-The-Counter Market
摘要
本研究旨在探討了解散戶投資者情緒與上櫃公司股價報酬之間的關係。本研究的對象為台灣股市的散戶投資者及台灣上櫃大盤指數，研究期間為2003/12/01至2007/12/30。本研究以向量自我迴歸模型中(Vector Auto regression model, VAR)中的因果關係檢定(Granger causality test)，針對所建構的散戶投資人情緒指標與股價報酬之互動關係及影響情況加以探討。 本研究實證結果發現：(1)直接投資人情緒指標對股價報酬影響，並不明顯，反之，股價報酬對直接投資人情緒指標的影響，則非常明顯；(2)間接投資人情緒指標對股價報酬並不明顯，反之，股價報酬對間接投資人情緒指標的影響，則非常明顯。
並列摘要
This study is just for understand the relationship between the Retail Investors Sentiment and the Stock Return of Over-The-Counter Market. The study of object are retail investors on the Taiwan stock market and Index of Over-The-Counter Market. The research period is from 2003/12/01 to 2007/12/30. We apply Granger causality test from VAR model to investigate the connection between retail investors sentiment indicators and stock returns. Our empirical result show: (1)The direct investors sentiment indicators disappear on influence of stocks returns, however ,it remains significant that stock returns will influence the direct investors sentiment indicators.(2)The indirect sentiment indicators disappear on influence of stocks returns, however, it remains significant that stock return will influence the indirect sentiment indicators.