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  • 學位論文

疫情期間投資者情緒對股市的影響

The Effects of Investors’ Sentiment on the Stock Market During Covid-19 Pandemic Period

指導教授 : 聶建中

摘要


論文研究於 2019 年 12 月底新冠疫情爆發期間,由於疫情影響經濟甚至危及性命,導致投資人出現非理性投資。因此本研究欲深究投資人情緒與美國股價的關聯。其中,以 VIX 恐慌指數代表投資人情緒,以標普 500 指數作為美國股市代表。 本研究採平滑移轉模型迴歸檢定方法,由 Granger and Teräsvirta (1993)和 Teräsvirta (1994)所提出,從非線性 (non-linear)方向進行探討不同經濟指數對美國股市的不同影響。 取樣自 2017 年 1 月至 2022 年 3 月之月資料數據共 63 筆。得到研究模型設定為邏輯型平滑移轉自我迴歸(LSTR)函數模型。另得知 VIX恐慌指數門檻值為 13.126590 時,不顯著影響美國標普 500 指數的結論,此二指數沒有顯著的關聯性。建議未來研究可加入其他變數,或使用其他的投資人情緒指標。

關鍵字

投資人情緒 恐慌指數 股市 疫情

並列摘要


During the outbreak of the Covid-19 at the end of December 2019, investors to make irrational investments due to the impact of the epidemic on the economy and even life-threatening. This study aims to investigate the relationship between investors’ sentiment and US stock market. Among them, the VIX index represents investors’ sentiment, and the S P 500 index represents the US stock market. This study adopts the regression test method of smooth transition autoregressive, proposed by Granger and Teräsvirta (1993) and Teräsvirta (1994), to explore the different effects of different economic indices on the US stock market from a non-linear direction. A total of 63 monthly data were sampled from January 2017 to March 2022. The obtained research model is set as a logarithmic smooth transition autoregressive (LSTR) model. It is also known that when the threshold value of the VIX index is 13.126590, it does nonsignificant affect of S P 500 index, indicating that this distribution is a normal distribution. In Future research could incorporate other influencing variables, or use other indicators of investors’ sentiment.

並列關鍵字

Investors' Sentiment VIX Stock Market Covid-19

參考文獻


Adnan, A. T. M., Hasan, M. M., and Ahmed, E. (2020), “Capital market reactions to the arrival of COVID-19: A developing market perspective”. Economic Research Guardian, Vol. 10, Iss. 2, pp. 97-121.
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