情緒指標對台灣金融類股日報酬率之影響

The Impact of Investor Sentiment Indicator on the Financial Stock Returns in Taiwan

黃湘婷(XIANG-TING HUANG)

指導教授 ： 陳建宏

朝陽科技大學/管理學院/財務金融系/碩士(2020年)

摘要

本研究主要探討情緒指標對台灣金融類股日報酬之影響，以台灣上市上櫃金融類股資料為對象，樣本包括台灣金控公司15家及台灣非金控公司18家二類，建立迴歸模型，探討各自變數對日報酬率之影響，得到以下的結論：
（1） 外資買賣超、投信買賣超、自營商買賣超、融資餘額，對日報酬率呈現顯著正向影響；融券餘額對日報酬率呈現顯著負向影響。
（2） 台灣金融控股公司外資買賣超、投信買賣超、自營商買賣超、融資餘額、融券餘額顯著家數高於台灣非金融控股公司。

關鍵字

融券餘額 ； 融資餘額 ； 三大法人買賣超 ； 金融類股 ； 情緒指標

並列摘要

This paper mainly explores the impact of investor sentiment indicators on the financial stock returns in Taiwan. The sample includes 15 financial holding companies and 18 non-financial holding companies. This paper hence refers to the overbought/oversold positions by foreign investors, investment trust companies and securities dealers, balance of margin loans and stock loans, as the independent variables for the investor sentiment indicators. The research period is from January 2014 to October 2019. The purpose is to explore the effects of investor sentiments on the returns on the Taiwanese stock market, and get the following empirical results:
(1) The overbought/oversold by foreign investors, investment trust companies and securities dealers, and balance of margin loans have a significant positive impact on the daily rate of return; the balance of stock loan has a significant negative impact on the daily rate of return.
(2) The number of the financial holding companies with significantly regression coefficients for overbought/oversold by foreign investors, investment trust companies and securities dealers, and the balance of margin loans and stock loan, are higher than that of the non-financial holding companies.

並列關鍵字

Balance of Margin Loan ； Institutional Investors Transactions ； Financial Stocks ； Investor Sentiment ； Balance of Stock Loan

參考文獻

英文文獻

1.Fama, E. F.(1970).Efficient capital markets: A review of theory and empirical work. Journal of Finance,25(5),383-417.

2.Baker, M & Wurgler, J. (2006).Invest sentiment and the cross section of stock returns. Journal of Finance,61(4),1645-1680.

3.Brown, G. W. & Cliff, M. T. (2004).Investor sentiment and the near-term stock market. Journal of Empirical Finance,11(1),1-27.

中文文獻