投資人情緒在產業間之均值蔓延與波動外溢效果

The Mean Contagion and Spillover Effect of Investor Sentiment between Industries

劉仲晏(Liu Chung Yen)

指導教授 ： 王祝三

國立臺北大學/商學院/企業管理學系/碩士(2016年)

摘要

隨著行為財務學的崛起,大量學術文章著墨於投資人情緒對股價報酬之影響，近年來學者進一步研究投資人情緒是否具有跨市場間傳遞的特性，即所謂均值蔓延和波動外溢效果，許多跨國性研究也證實了此現象的確存在。但由於跨國性研究難以全面控制不同國家間之地理環境、文化認知、經濟制度等各種差異，導致投資人情緒於跨國間是否確實具有均值蔓延和波動外溢效果變得難以定論。不僅如此,Potter(1999)認為,投資人情緒對於不同階段景氣循環有十分顯著之影響，而景氣循環亦是帶產業動類股輪動之主因。因此,為避免上述跨國性研究之缺陷，本文直接探討同一國家之內各產業間投資人情緒是否存在均值蔓延和波動外溢效果。再者由於投資人情緒可能是產業類股輪動之重要成因之一，本文將提供一個機會來驗證產業類股輪動是否導因於跨產業間投資人情緒之傳遞。本研究之實證結果顯示，產業間投資人情緒存在共整合現象，而投資人情緒在兩兩產業間存在部分Granger因果關係，如金融業與食品業汽車業石油業公共事業均有雙向Grange因果關係，其可能因金融業對總體經濟影響甚鉅，而石油業會Granger影響汽車業，但汽車業不會Granger影響石油業，其因石油業和汽車業為互補品，而汽車業和單向影響石油業，本研究根據因果關係之結論，取最顯著之三個產業，金融業、汽車業和石油業，使用ANST-STAR-GARCH 模型，探討產業間是否存在非線性不對稱之均值蔓延和波動外溢之效果，其實證發現,跨產業間確實部分存在非線性均值蔓延和波動外溢現象，非線性均值蔓延之結果與因果關係相符，而非線性波動外溢效果之結論則顯示，金融業之投資人情緒非線性波動外溢在產業間不再具雙項關係，顯示情緒非線性不對稱波動外溢效果在產業間相較均值蔓延弱。根據本研究之發現，與過往文獻相符，投資人情緒不僅在國家間傳遞，在產業間確實也存在傳遞效果。

關鍵字

投資人情緒 ； 產業 ； 均值蔓延 ； 波動外溢 ； ANST-STAR-GARCH模型

並列摘要

With the rise of behavioral finance, a large number of academic articles dwell on the impact of investor sentiment on the stock returns of recent years, scholars further study whether investor sentiment exists cross-market transferring between countries. This kind of characteristics so-called mean contagion and volatility spillover effect and study also confirmed the phenomenon does exist. However, due to transnational research is difficult to fully control the various differences in geography, cultural awareness and rules of economic between the different countries, resulting in investor sentiment transnational spread between countries whether indeed with mean contagious and volatility spillover effect becomes difficult to determine. Not only that, Potter (1999) believes that investor sentiment not only has a significant impact on the different stages of the business cycle, but also is the main reason of industrial cyclical stocks move wheeled. Therefore, to avoid the above-mentioned defects transnational research, this paper discuss directly between the various industries within the same country, the existence of transnational of investor sentiment mean contagious and volatility spillover effects. Furthermore, because the investor sentiment may be one of the important causes of wheeled industry shares, the paper will provide an opportunity to verify whether wheeled industry sector lead investor sentiment due to transfer of ships between cross-industry. The empirical results of this study showed that investor sentiment exists cointegration among industries, and investor sentiment between two industries exists Granger causality effect, such as automotive industry and oil industry are bidirectional causality, oil industry will granger effect automotive industry. The empirical article of ANST-STAR-GARCH model confirmed the existence of mean contagious and volatility spillovers between the cross-industry.

並列關鍵字

Investor sentiment ； Industries ； Mean contagious ； Spillover

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