The Impact of Investor Sentiment on Excess Returns: A Taiwan Stock Market Case

Wu-Jen Chuang ； Liang-Yuh Ouyang ； Wen-Chen Lo

《International Journal of Information and Management Sciences》 21：1 (2010/03) Pp. 13-28

https://doi.org/10.6186/IJIMS.2010.21.1.2

並列摘要

In this paper, we use a proxy for investor sentiment and employ a generalized autore-gressive conditional heteroskedasticity in mean (GARCH-M) model to show the impact of investor sentiment on excess returns in Taiwan stock market. Firstly, the evidences suggest that the change in trading volume is a suitable proxy for investor sentiment. Furthermore, the conditional volatility and excess returns have a negative and significant relationship. We argue that the irrational sentiment has influence on stock valuations.

並列關鍵字

Trading Volume ； Investor Sentiment ； Excess Returns

參考文獻

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