投資人情緒與技術指標相關性之研究

A Study on the Relationship between Investor Sentiment and Technical Indicators

陳文輝(Wen-Hui Chen)

指導教授 ： 王祝三

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2015年)

摘要

過去文獻指出情緒與股票報酬有高度關聯性，例如Brown and Cliff (2004)發現情緒水準和其波動程度與同期的股票報酬呈現高度相關。而對許多個別投資人而言，買賣股票時點的選擇常用的方式就是技術分析，其中常見的技術指標有指數平滑異同移動平均線(MACD)、RSI(相對強弱指標)、KD(隨機指標)。
本篇論文主要探討投資人情緒與技術指標的相關性，檢測技術分析指標是否亦為衡量投資人情緒之代理變數。另外，本文也進一步探討投資人情緒與技術指標分別對台股市場報酬率之預測能力，本部分以台股大盤每週、每月、3個月、6個月、12個月不同之報酬率進行分析。在投資人情緒指標方面，本文參考Feldman(2010)之作法，將半衰期分為9週、52週及105週，以台股共同基金為資料計算出一個新的情緒指標，即損失感知指標(Perceived Loss Index , PLI) ，以捕捉投資人負向情緒。實證結果，無論半衰期為9週、52週或105週，投資人情緒與技術指標都呈顯著相關，而3個月天期以上之台股大盤報酬率則與投資人情緒指標呈顯著負相關。本文之實證結果顯示，由於技術分析指標可以成功捕捉到投資人情緒之變動，因而可預測未來之股票報酬績效。

關鍵字

技術指標 ； 投資人情緒 ； 行為財務

並列摘要

Past literature indicates that sentiment and stock returns have a high degree of correlation, such as Brown and Cliff (2004) found that the degree of emotional level and volatility of stock returns over the same period were highly correlated. And for many individual investors, buying and selling stocks point of select common way is technical analysis, in which a common technical indicators MACD exponential moving average (MACD), RSI (Relative Strength Index), KD (stochastics).
This paper focuses on the Relationship between investor sentiment and technical indicators, to detect whether technical analysis indicators it is also a measure of investor sentiment proxy variables. In addition, the paper also further explore investor sentiment and technical indicators have ability to forecast Taiwan's stock market return, this section used Taiwan's stock market return to a weekly, monthly, 3 months, 6 months, 12 months to do different analysis. In investor sentiment indicators, herein by reference Feldman (2010) of the practice, the half-life is divided into nine weeks, 52 weeks and 105 weeks in the Taiwan stock market mutual funds as the data to calculate a new sentiment indicators, namely the loss of perception index (perceived loss index, PLI), to capture the negative investor sentiment. The empirical results, all half-life of 9 weeks, 52 weeks or 105 weeks, investor sentiment and technical indicators were tested significantly related, but more than the three-month-day rate of return on the Taiwan stock market return and investor sentiment indicators showed a significant negative correlation. The empirical results of this paper show that, for technical analysis indicators can successfully capture the change of investor sentiment, which can predict future stock returns performance. Consistent with the expected results.

並列關鍵字

behavioral finance ； technical indicators ； Investor sentiment

參考文獻

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