散戶情緒指標對台股報酬之影響

Investor Sentiment and Stock Returns in Taiwan

張馨文(HSIN-WEN CHANG)

指導教授 ： 陳建宏

朝陽科技大學/管理學院/財務金融系/碩士(2017年)

摘要

在股票市場中，投資人存在「多空看法分歧」的現象，投資人非理性的行為對股市造成的影響應更顯而易見，而投資人買賣決策行為之認知差異，及其本身交易形成之市場情緒亦會影響股票市場之報酬率。由於股票報酬率除因基本面的影響之外，在短期上，往往易受到投資人市場情緒之影響，故本研究以外資買賣超、投信買賣超、自營商買賣超、當沖比率、融資餘額，與融券餘額等市場情緒指標為自變數，以2011年1月至2017年3月為研究期間，探討其對台灣股票市場股票報酬率的影響。
實證結果得知三大法人買賣超大多為正向影響，表示三大法人買賣超越大，台灣50與中型100樣本公司之日報酬率越大。而台灣50融資餘額迴歸係數為正之顯著家數多於中型100，表示台灣50的成份股因流動性較高，使得投資人做多時，其融資餘額越高，日報酬率越大。當日沖銷迴歸係數為正之顯著家數，中型100高於台灣50，可能由於中型100股本較小，規模也較台灣50低，較容易炒作，因此當沖張數越多，其日報酬率越高。

關鍵字

三大法人買賣超 ； 情緒指標 ； 當日沖銷 ； 融資餘額 ； 融券餘額

並列摘要

In addition to fundamentals, the returns in the stock market are often subject to the influence of investor sentiments in the short term. This paper hence refers to the overbought/oversold positions, day trading ratios, balance of margin loans and stock loans by foreign investors, investment trust companies and securities dealers as the independent variables for market sentiments. The research period is from January 2011 to March 2017. The purpose is to explore the effects of investor sentiments on the returns on the Taiwanese stock market.
The empirical results suggest that the influence of the overbought/oversold positions by foreign investors, investment trust companies and securities dealers is mostly positive. The greater the aggregated overbought/oversold positions, the higher the daily returns of the constituents of the Taiwan 50 Index and the Taiwan Mid-Cap 100 Index. The number of the constitutes of the Taiwan 50 Index with significantly positive regression coefficients for the balance of margin loans is much higher than that of the Taiwan Mid-Cap 100 Index. This suggests the better liquidity of the Taiwan 50 Index constituents prompts investors to be engaged in bull strategies (evidenced by the larger balance of margin loans and the daily returns). However, the number of the constitutes of the Taiwan Mid-Cap 100 Index with significantly positive regression coefficients for day trading ratios is much higher than that of the Taiwan 50 Index. This is possibly due to the relative ease to speculate on the names with smaller market capitalizations and the lower numbers of shares outstanding in the Taiwan Mid-Cap 100 Index. Hence, the higher the day trading ratios, the greater the daily returns.

並列關鍵字

Investor Sentiment ； Institutional Investors Transactions ； Day Trading ； Balance of Margin Loan ； Balance of Stock Loan

參考文獻

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