台股情緒指標建構及與股市關係

吳佩蓉

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台股情緒指標建構及與股市關係

Construction of Sentiment Index and the Relationship between Sentiment Index and TAIEX Return

吳佩蓉 , Masters　　Advisor：郭維裕　　

英文

行為財務學；情緒指標；台股大盤報酬； Sentiment index ； Taiwan stock market return ； behavioral finance

Abstract │ Reference (8) │ Altmetrics

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The main contribution would be the construction of the sentiment index in Taiwan stock markets and examining the relationship between the variation of the sentiment index and Taiwan stock market returns. 
     The background is Taiwan stock markets. The sample period is from January 2001 to December 2010. We use the method in Baker, Wurgler and Yuan (2009) to measure investors’ sentiment and explore the relationship between the variation of the sentiment index and Taiwan stock market returns.
     The empirical result reveals that in monthly data, Taiwan stock market returns is the leading indicator of the variation of investment sentiment. In a longer term, we mean the quarterly data in this paper, the situation changes. In quarterly data, the variation of the investment sentiment is the leading indicator of the Taiwan stock market returns. 
     In addition, instead of a negative correlation between the stock market returns and our sentiment index, we prove that our sentiment index have a positive impact on stock market returns. Therefore, we could not use this sentiment index to forecast future economic bubbles.

Reference ( 8 ) 〈TOP〉

Baker, Malcolm and Jeffery Stein, 2004, Market Liquidity as A Sentiment Indicator, Journal of Finance Market 7, 271-299.
連結：
Baker, Malcolm, and Jeffery Wurgler, 2006, Investment Sentiment and the Cross-Section of Stock Returns, Journal of Finance 61, 1645-1680.
連結：
Baker, Malcolm, and Jeffery Wurgler, 2008, Government Bonds and the Cross-Section of Stock Returns, Working paper, Harvard Business School.
連結：
Baker, Wurgler and Yuan, 2009, Global, Local, and Contagious Investor Sentiment, Working paper, Harvard Business School.
連結：
Loughran, Tim, Jay R. Ritter, and Kristian Rydkvisft, 1994, Initial Public Offerings: International Insights, Pacific-Basin Finance Journal, 2, 165-199.
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