情緒指標對臺灣股票報酬與風險之研究─以中國概念股為例

A Study of the Influence of Sentiment Indicators on the Returns and Risks of the China Concept Stocks in Taiwan

黃透汝(Tou-Ju Huang)

指導教授 ： 戴錦周

共同指導教授 ： 賴煒曾(Wei-Tseng Lai)

國立臺中科技大學/商學院/財務金融研究所碩士班/碩士(2017年)

摘要

本研究為2008年1月1日至2017年5月31日，2,325筆日資料，樣本為中國概念股之26檔股票，選用三大法人買賣超、當沖比例、融資餘額及融券餘額當作情緒指標，透過GARCH (1,1)模型，實證情緒指標對中國概念股報酬與風險之研究。各股票報酬之實證結果發現：首先，三大法人買賣超在長期下與個股報酬皆呈現顯著正向影響，表示三大法人買賣超情緒指標變動使個股報酬呈正向變動。其次，當沖比例在長期下與個股報酬也呈現顯著正向影響，顯示當日沖銷交易會使報酬增加。另外，融資餘額在長期下融資餘額和股價存在因果關係，但對未來股價報酬方向不確定。最後，在長期下融券餘額增加與未來股價為負向的走勢。各股票風險之實證結果發現：首先，三大法人買賣超及當沖比例情緒指標波動越大時，個股風險變動也越大，反之，情緒指標波動小，個股風險變動則較小，當中以自營商買賣超最為明顯。最後，融資餘額、融券餘額與個股風險之間的關係在長期影響下方向不固定。

關鍵字

情緒指標 ； 中國概念股

並列摘要

This study refers to 2,325 pieces of data from January 1, 2008 until May 31, 2017, taking samples of 26 China concept stocks, selecting and using overbought/oversold of three institutional investors, proportion of day trading, balance of margin loan and stock loan as the sentiment indicators through a GARCH (1, 1) model to empirically demonstrate sentiment indicators on China concept stocks returns and risks. First and foremost, the empirical results of all stock returns show that the overbought/oversold of three institutional investors under the long-term condition have had a significant positive impact on returns of individual stocks, which indicates the changes of overbought/oversold sentiment indicators render the returns of individual stocks a positive change. Next, the long-term proportion of day trading has a positive impact on returns of individual stocks as well, which demonstrates the day trading increases the returns. In addition, the financing balance in the long term has a causal relationship with the stock prices; however, there is an uncertainty over the future direction of share price returns. Finally, the long-term increased balance of stock loan leads to a negative trend of future share prices. The empirical results of all stock risks are shown as follows: first of all, the higher (lower) the fluctuation of overbought and oversold of three institutional investors and sentiment indicators of day trading is, the greater (smaller) the risk change in individual stocks will be, of which the overbought/oversold of dealers is most obvious. Besides, the relationship between the balance of margin/stock loan and the risk of individual stocks is not fixed under the long-term influence. Moreover, the overbought/oversold of foreign investment, overbought of dealers and day trading proportion in the traditional industries (Taiwan Cement, Uni-President Enterprises Corporation and Nan Ya Plastics) have shown a significant positive impact. Finally, the empirical results were also presented that the variance was relatively sensitive to the proportion of day trading i.e. the higher the proportion of day trading is, the higher the risk of individual stocks will be.

並列關鍵字

Sentiment Indicator ； China Concept Stocks

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