ABSTRACT In Taiwan stock market, individual investors’ sentiments are usually more easily affected by the market’s atmosphere. Therefore, we want to know that if investors could get better returns than the market through comprehend the relationship between investors’ sentiments and returns on TAIEX. This paper selected five variables to construct investor’s sentiment indices. Based on statistical method, the same period of regression model and the next period of regression model with four different experiment days are established to measure the relationship between investor’s sentiment indices and returns on TAIEX. Then, we used the regression models to simulate investment returns, and reached the following conclusions: (1) With the increase of experiment days, the standard deviation of return on TAIEX was also increasing. (2) The regression model established during the research period can not significantly generate better returns than the market.