中國股票市場的投資者情緒與回饋交易之研究:　雙變量EGARCH模型

Investor sentiment and feedback trading of Chinese stock markets: An approach of bivariate EGARCH model

康家瑜(CHIA-YU KANG)

指導教授 ： 蕭榮烈

國立臺北大學/商學院/國際企業研究所/碩士(2016年)

摘要

本研究旨在探討投資者情緒是否會對股市裡的回饋交易行為有所影響。首先本研究採
用主成分分析法建構一個以日為頻率的複合情緒指標，取得六個間接情緒作為情緒的代理
變數: 成交量、本益比、相對強弱指標（RSI）、金錢流指標（MFI）、匯率、利率。其次
，本研究選取中國股票市場作為研究對象，因為看中中國具有上海、深圳雙股票市場的特
性，且兩股市長期具有合作又競爭的互動關係。此外，本研究也採用雙變量EGARCH 模型
探討是否情緒指標會對兩股票市場的回饋交易行為有不同的影響程度。

本研究的實證結果發現，兩市場的正向回饋交易現象皆與投資人情緒有明顯關聯，而
這也佐證了在上海、深圳股票市場出現的回饋交易行為是會受到噪音交易者的影響。此外
，我們也發現在本研究樣本期間內，上海股市的回饋交易行為出現在高情緒，而深圳的回
饋交易行為出現在低情緒。再者，當上海投資者處於高情緒時，由實證結果中並無法看出
兩市場的相關性會增加，可用上海和深圳的股市結構並不相同作為部分解釋。最後，如果
金融市場上投資者或分析師認為情緒因子對未來股票市場的走勢具有預測力，則本篇的實
證結果對於他們是有影響力的。

關鍵字

投資者情緒 ； 中國股票市場 ； 雙變量EGARCH模型 ； 正向回饋交易

並列摘要

This study aims to measure whether the degree of feedback trading of stock markets will be affected by investor sentiment. We firstly construct composite daily sentiment indices by principal component analysis. The indirect sentiment indices are based on the common variation in six proxies for sentiment: turnover, price-earnings ratio, RSI, MFI, exchange rate, and interest rate. Secondly, the target country of this research is China because Chinese stock markets have two different major stock exchanges, Shanghai Stock Exchange and Shenzhen Stock Exchange. And these two markets are in a competing relationship for the long time. Additionally, this thesis tries to examine whether these representative sentiment indices affect these two stock markets’ feedback trading in different degrees by using bivariate EGARCH model.

From empirical results, we find that positive feedback trading in two stock markets of China is largely connected to investor sentiment. Then the result can support the view that investor behaviors of feedback trading of Shanghai and Shenzhen are obviously caused by noise traders. In addition, we also find during our research period positive feedback trading exists in Shanghai stock market with high-sentiment investors but happens in Shenzhen stock market with investors in low-sentiment state. Furthermore, when investors of Shanghai stock market are optimistic, through our testing result we could not see the enhanced correlation between these two markets. This result could be explained partly by different market structures between Shanghai and Shenzhen stock markets. Finally, the findings of this paper are useful for financial market investors and regulators who regard sentiment as an effective indicator for predicting market movement in the future.

並列關鍵字

investor sentiment ； Chinese stock markets ； bivariate EGARCH model ； positive feedback trading

參考文獻

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