Predicting Market Regimes and Stock Returns Using Investor Sentiment

投資人情緒對市場狀態與股票價格的預測能力

張森林(San-Lin Chung) ； 葉宗穎(Chung-Ying Yeh)

《證券市場發展季刊》 23卷2期 (2011/06) Pp. 1-28

https://doi.org/10.6529/RSFM.2011.23(2).1

摘要

我們研究投資人情緒（investor sentiment）如何影響市場的狀態（market regimes），以及在不同的公司特性、投資人情緒與市場狀態下檢驗股票報酬的可預測模式。本文使用了兩種不同的投資人情緒指標，分別為Baker and Wurgler's（2006）所使用的情緒指標與CBOE的VIX指數。在實證分析上，我們使用一個新的計量方法：Dueker（2005）提出的Qualitative Vector Autoregressive(QVAR) Model，因為QVAR是一個能將二元變數併入VAR結構的方法，從而方便我們分析市場狀態的可預測性。在股票報酬可預測性上，我們的結果支持Baker and Wurgler（2006）和Kumarand Lee（2006）的論點。我們的實證結果如下：（1）股票報酬具有狀態轉換的特性，報酬的平均數、變異數與可預測性會隨市場狀態改變而改變；（2）投資人情緒對未來的市場狀態與股票報酬具有預測能力；（3）size及book-to-market效果出現與否受到市場狀態與投資人情緒所左右。

關鍵字

投資人情緒 ； 馬可夫轉換

並列摘要

We study how investor sentiment affects market regimes and examine the predictive patterns of stock returns under different firm characteristics, investor sentiment, and the state of the regime. Two kinds of investor sentiment indices, Baker and Wurgler's (2006) sentiment index and CBOE's VIX index, and a new econometric method, the Qualitative Vector Autoregressive (QVAR) model proposed by Dueker (2005), have been used in this study. The QVAR model incorporates the information from qualitative binary variables, such as market regimes, into the VAR structure to facilitate exploring predictive patterns in a conditional way. Our empirical findings support those of Baker and Wurgler (2006) and Kumar and Lee (2006) that investor sentiment is important in the formation of stock returns, especially for sentiment-sensitive stocks. We find that (1) stock returns are in the presence of regime-shift levels, volatility, and the predictive power of the instrumental variables; (2) investor sentiment (or fear) has the ability to predict the subsequent market regimes as well as the cross-sectional stock returns over regimes, and (3) the appearance of size and book-to-market effects depends on the states of the regime and investor sentiment.

並列關鍵字

Investor sentiment ； VIX ； Markov switching ； Qualitative Vector Autoregressive model

參考文獻

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