本文以投資人情緒觀點,探討衝擊事件下股票市場指數的價格行為。證據顯示,在正衝擊事件後的短窗口下(4日)伴隨著正異常報酬,支持反應不足假說;負衝擊事件則呈現過度反應的趨勢。不僅如此,在面對衝擊事件時,無論是機構投資人或非機構投資人,皆呈現類似展望理論中的損失嫌惡情形。其次,不同的市場狀態,投資人呈現不同的情緒反應;處於正衝擊事件下,投資人愈樂觀、散戶賣起愈少、法人買超愈少,動能規模愈大;負衝擊事件下,市場強度增加時,則動能規模較大。在投資情緒與指數動能動態關係中,「法人的交易型態」和「投資人從眾行為」具有領先指數報酬的傾向,其他情緒變數則多為落後指標。
This study mainly investigates price behavior based on the view of investor's sentiment. The conclusions are as follows: First, consistent with the under-reaction hypothesis, positive shocks are followed by positive abnormal returns in short windows. Next, the size of momentum profits is larger as closed-end hind discount is decreased, institutional investors tend to be buying less, and retail investors are selling less after the positive shocks. Under the influence of negative shocks, the size of momentum profits is larger as investors tend to be selling more. Moreover, a lead-lag relationship exists between the Taiwan stock index and investor's sentiment.