台灣報紙頭條對台股加權指數報酬率 之影響研究

The Study on the Impacts of Taiwan Newspaper Headlines on the Return Rates of TAIEX

楊書銘(SHU MING YANG)

指導教授 ： 林岳喬

國立中正大學/管理學院/會計與資訊科技學系/碩士(2014年)

摘要

Kahneman and Tverskey (1979)提出展望理論(Prospect Theory) 指出傳統預期效用理論無法完全描述個人在不確定情況下的決策行為。人在做決策時，理性會對所有的可能情境做詳盡分析，但常會有認知的偏誤，而以經驗或直覺作依據，反應在投資行為上，則會出現過度反應或反應不足。這些與過去效率學派所假設理性行為相抵觸，因此行為財務學就在此背景下興起與盛行，以多方面的研究來解釋市場的異常現象。
本研究樣本採用三年的台股加權指數日報酬率與四大報別的每日頭條資料，來探討由報紙頭條所引起的投資人情緒指數對台灣股市報酬率的影響，研究發現報紙頭條所引起的情緒變異程度對整體股市報酬率，無論在單一報別或綜合報別下，政經類有提前反應的顯著影響，而在非政經類有延遲影響的明顯現象，但整體來看顯著性不明顯。

關鍵字

情緒指數 ； 行為財務學 ； 報紙頭條

並列摘要

Kahneman and Tverskey (1979) developed Prospect Theory indicating that traditional expected utility theory cannot fully explain the decision making behavior of individuals under uncertainties. With expected utility theory, people are supposed to be rational and perform detailed analysis on all potential scenarios when making decisions. However, people often have cognitive biases and base their investment behaviors on past experience or intuitions which lead to either over or under-reaction to the situation. Those are inconsistent with the rational behavior described in the traditional efficient market theory. Thus, behavioral finance has developed and gained popularity to explain the abnormal behaviors in the market from a different perspective.
This paper took the daily rate of return of Taiwan Weighted Stock Index for three years and the daily headlines of four major newspapers to investigate the impact of investors’ sentiment index as a result of reading newspaper headlines on Taiwan stocks’ return rates. This research found the degree of sentiment variation aroused from newspaper headlines had significant impact on the overall market return rates for both standalone and consolidated financial statements: early response in political and economic sector and delayed response in non-political and economic sector.

並列關鍵字

Behavioral Finance ； Sentiment Index ； Newspaper Headlines

參考文獻

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