台灣股價指數報酬率與投資人情緒指標間的非線性關係－多變量門檻模型之應用

Nonlinear Relationships Between Taiwan's Stock Return and Investor Sentiment Indices:An Application of Multivariate Threshold Models

王國泰(Kuo-Tai Wang)

指導教授 ： 劉曦敏

國立臺北大學/社會科學學院/經濟學系/碩士(2013年)

摘要

本文以Tsay(1998)所提出的多變量門檻模型，分析ARMS、VIX、市場週轉率、台股選擇權未平倉比四種反映投資人情緒的指標與台灣股市大盤和七種類股指數報酬率的非線性關係，首先透過檢定確認在不同的景氣階段股指報酬率和情緒指標的非線性關係後，再藉由逐點搜尋的方式找出適合的門檻值與區間數目，然後將向量自我迴歸模型切割成兩個或三個區間，以檢視在不同情境下投資人情緒如何影響股票報酬率。在門檻變數的選擇方面，本文使用大盤指數報酬率為分析類股指數報酬率時的門檻變數，採用機電類股指數報酬率為分析大盤指數報酬率時的門檻變數。
本文的實證發現主要有以下三點。第一，各類股在相同區間會受到不同情緒指標的影響，但這些情緒指標對類股報酬率的影響方向皆相同，此現象在景氣繁榮與衰退時期特別顯著。第二，大盤指數報酬率和情緒指標間的不對稱關係在景氣繁榮、景氣穩定的中區間和景氣衰退的中、低區間顯著。第三，在景氣繁榮和穩定時，ARMS與和VIX對大盤的報酬率最具解釋力，而在景氣衰退時，VIX、市場週轉率和台股選擇權未平倉比為有效的指標。此外，本文所採用的情緒指標對台股大盤報酬率的變動方向也有相當準確的預測能力。

關鍵字

投資人情緒 ； 股指報酬率 ； 多變量門檻模型 ； 向量自我迴歸模型 ； 非線性

並列摘要

This thesis analyzes nonlinear relationships between four investor sentiment indices (i.e., ARMS, VIX, market turnover rate, and put/call ratio) and returns of Taiwan’s stock index and seven categorical stock indices using multivariate threshold models proposed by Tsay (1998). After confirming that threshold phenomena are strongly suggested, a grid search method is adopted to discover suitable values for threshold variables. Then, vector autoregressive models are divided into two or three regimes accordingly to explore the impacts of investor sentiment indices on Taiwan’s stock returns under different scenarios. As to the selection of threshold variables, this study employs returns of Taiwan’s stock index as the threshold variable when returns of categorical stock indices are investigated, and uses returns of the electric machinery index as the threshold variable when returns of Taiwan’s stock index are examined.
Our major findings are as follows. First, different categorical stocks in the same interval are affected by different investor sentiment indices, but their impact directions are the same. This phenomenon is particularly obvious during prosperous and recession periods of the economy. Second, the nonlinear relationships among returns of Taiwan’s stock index and investor sentiment indices are significant in the prosperous period, the medium regime of the stable period, and the medium and low regimes of the recession period. Third, ARMS and VIX are more effective in explaining Taiwan’s stock returns during the prosperous and stable periods, while VIX, market turnover rate, and put/call ratio have significant influences on Taiwan’s stock returns during the recession period. Moreover, the investor sentiment indices adopted by this study can predict directional changes of Taiwan’s stock returns pretty well.

並列關鍵字

sentiment indices ； stock returns ； multivariate threshold models ； vector autoregressive models ； nonlinearity

參考文獻

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