台灣股票市場資訊揭示與投資人情緒反應的互動關係

The Interaction Relationship between Stock Market Information Disclosed and the Reaction of Investors' Sentiments

黃寶玉(Pao-Yu Huang) ； 倪衍森(Yen-Sen Ni) ； 賴步昇(Pu-Shen Lai)

《台灣金融財務季刊》 12卷4期 (2011/12) Pp. 115-144

https://doi.org/10.6985/TBFQ.201112.0115

摘要

本文以台灣股票市場為研究對象，並針對以下幾個面向進行股市投資人情緒課題的實證分析：首先探討股價報酬、市場情緒指標與股市表現的關連性，其次納入期貨的未平倉量為情緒指標來做一探討，再者法人動向與情緒指標間之關連性也一併探討，並有以下重要發現：其一情緒指標的券資比似乎易受股市上漲影響，且情緒上可能會懷疑其真實性，造成融券的增加反被市場軋空。其二為股票成交量的上升似也影響期貨未平倉量增加，探究其成因可能是成交量與指數同步上揚的情況下，容易產生多空拉拒，因而推升未平倉量的增加，然多單似由法人主導，受傷則多為散戶。其三投資人易受外資、自營商買超及道瓊收高表現的情緒所感染，因而影響大盤的表現；當大盤成交量能量潮越大時，自營商的買超反而有縮減傾向，即使大盤位於平均線之上，投資報酬率反而顯著地降低。由上述實證結果說明若投資人被情緒所牽引，可能不易在資本市場上獲利。

關鍵字

情緒指標 ； 未平倉合約 ； 移動平均線

並列摘要

This paper investigates the relation of investors' sentiments in Taiwan stock markets. We examine the interaction between stock returns and market sentiment indicators, employ open interest of future markets as investor sentiment indicators, probe into the relation between sentiments indicators and investment behaviors of financial institutions, and find several empirical results disclosed as follows. First of all, the ratio of short selling to margin trading would go up in rising stock markets. It might refer that investors still suffer loss by short-selling stocks due to the rising of share markets, although individual investors suspect the truth of the rising stock markets by their sentiments. Secondly, open interest often increases in futures markets, while trading volume increases in the stock markets. The possible reasons are inferred that stock markets might have so-called mutual confrontation effect and then push open interest to increase while share price and trading volume go up at the same time, and we find that the long positions of open interest are always held by financial institutions, but the short positions of open interest seem to be held by individual investors. Thirdly, investors' sentiments might be easily affected by Dow Jones index and the trading behaviors of foreign financial institutions, and the dealers. However, while the trading volume of stock markets enlarge, the net buying of dealers might shrink and the rate of return is inclined to decrease, even though the shock index are located above moving average line. Thus, it is difficult for individual investors to make profits while their sentiments are drawn by stock markets.

並列關鍵字

Sentiment Indicators ； Open Interest ； Moving Average Line

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