美國股票指數與指數期貨市場之正向回饋交易

Positive Feedback Trading in the U.S. Stock Index and Index Futures Markets

趙柏鈞(Bo-Jun Zhao)

指導教授 ： 李彥賢 ； 牟萬馨

中原大學/商學院/財務金融研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700285

摘要

本研究主要探討美國投資人情緒與正向回饋交易行為之關係，並檢定發生重大金融事件前後正向回饋交易行為變化情形。研究顯示，美國股票市場及期貨市場均存在正向回饋交易行為，且正向回饋交易行為會受到投資情緒影響，投資人情緒在較為恐慌的狀態下，正向回饋交易行為更為強烈。此外，在發生重大金融事件後，正向回饋交易行為相較於事件發生前明顯增強。

關鍵字

正向回饋交易 ； 投資人情緒 ； 重大金融事件

並列摘要

This thesis attempts to examine the relationship between investors’ sentiment and positive feedback trading behavior in the U.S. stock index and index futures markets. In addition, we examine changes in the positive feedback trading during the periods of pre- and post- financial crises. Our results show that there is positive feedback trading between the U.S. stock index and index futures markets, with investment sentiment driving the positive feedback trading. Our evidence supports that the positive feedback trading is more intense during the market turmoil –i.e., the period of post- financial crisis has increased the positive feedback trading more than pre- financial crisis.

並列關鍵字

Positive feedback trading ； Investment sentiment ； Financial events

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