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題名 投資人情緒是否影響股票市場？以共同基金流量檢視
Does Taiwan stock market walk with investor sentiment?- Examination on mutual fund flows
作者 馬嘉蓉
Ma, Chia Jung
貢獻者 周行一
馬嘉蓉
Ma, Chia Jung
關鍵詞 投資人情緒
共同基金
主成分分析
日期 2009
上傳時間 9-May-2016 15:16:12 (UTC+8)
摘要 In this paper, we find evidence that the mutual fund flows could be a good measure of investor sentiment, and inventors in Taiwan have independent sentiments about domestic and foreign markets. We further construct a sentiment index by principle component analysis, and show that investor sentiment measured by fund flows has no significant impact, although the sign is positive as expected, on concurrent market return. The results also suggest different sentiments embedded in mutual fund flows and stock market in Taiwan.
參考文獻 Abraham, David L. Ikenberry, 1994. The individual investor and the weekend effect, Journal of Financial and Quantitative Analysis 29, 263-277.
Baker, M., Stein J., 2004. Market liquidity as a sentiment indicator. Journal of Financial Markets 7, 271–299.
Baker, M., Wurgler, J., 2000. The equity share in new issues and aggregate stock returns. Journal of Finance 55, 2219–2257.
Baker, M., Wurgler, J., 2004. A catering theory of dividends. Journal of Finance 59, 1125–1165.
Baker, M., Wurgler, J., 2006. Investor Sentiment and the Cross-Section of Stock Returns. Journal of Finance 4, 1645-1680.
Barber, Brad, 1999, Noise Trader Risk, Odd-Lot Trading, and Security Returns. Unpublished working paper. University of California at Davis.
Barberis, N., Shleifer, A., 2001. Style Investing. Unpublished working paper. University of Chicago and Harvard University.
Bayless, M., Susan C., 1996. Is there a window of opportunity for seasoned equity issuance. Journal of Finance 51, 253-278.
Black, Fischer, 1986, Journal of Finance 41, 529-543.
Brauer, Greggory A., 1993, Investor sentiment and the closed-end fund puzzle: A 7 percent solution. Journal of Financial Services Research 7, 199-216.
Brown, G.W., 1999. Volatility, sentiment, and noise traders. Financial Analysts Journal 55, 82– 90.
Brown, S., Goetzmann, W., Hiraki, T., Shiraishi, N., Watanabe, M., 2005. Investor sentiment in Japanese and US daily mutual fund flows. Unpublished working paper. University of Yale.
Brown, G. W., and Cliff M. T., 2004. Investor sentiment and the near-term stock market, Journal of Empirical Finance 11, 1-27.
Brown, G. W., and Cliff M. T., 2005. Investor Sentiment and Asset Valuation. Journal of Business 78:2, 405-440.
Chen, N. F., Roll R., Ross, S. A., 1986. Economic forces and the stock market. Journal of Business 59, 383-403.
Chen, N., Kan, R., Miller, M., 1993. Are the discounts on closed-end funds a sentiment index? Journal of Finance 48, 795–800.
Chen, B. S., 2000. The relation of mutual fund flows, performance and market return. Thesis for Master degree. National Kaohsiung First University of Science and Technology.
Choe, Hyuk, Ronald Masulis and Vikram Nanda, 1993. Common stock offerings
across the business cycle: Theory and evidence, Journal of Empirical Finance 1, 3-31.
Chopra, Navin, Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler, 1993. Yes,
Discounts on closed-end funds are a sentiment index, Journal of Finance 48, 801-808.
Chow, B.H., Chang, W.C., Lin, M.C., 2007. Interaction between Investor sentiment and stock return, Taiwan Social Sciences Citation Index 20:1.
Clarke, Roger G. and Meir Statman. 1998. Bullish or Bearish, Financial Analysts
Journal 54:6, 63-72.
Comincioli, B., and Wesleyan, I., 1996. The stock market as a leading indicator: An application of granger causality. The University Avenue Undergraduate Journal of Economics.
De Long, J. B., Shleifer A., Summers L. H. Waldmann R., 1990. Noise trader risk in financial markets. Journal of Political Economy 98, 703–738.
Din, U. R., 2003, Correlation on mutual fund flows and stock return. Thesis for Master degree. Chaoyabg University of Technology.
Edelen, R. M., Warner, J. B., 2001. Aggregate price effects of institutional trading: A study of mutual fund flow and market returns. Journal of Financial Economics, 59, 195-220.
Edwards, F. R., and Zhang, X., 1998. Mutual funds and stock and bond market stability. Journal of Financial Service Research 13:3. 257-282
Elton, E.J., Gruber, M.J., Busse, J.A., 1998. Do investors care about sentiment? Journal of Business 71, 477– 500.
Froot, Kenneth A. and Emil M. Dabora, 1999.How are stock prices affected by the location of trade? Journal of Financial Economics, 53, 189-216.
Glaser, M., Martin W., 2007. Overconfidence and trading volume, Geneva Risk and Insurance Review 32, 1-36.
Goetzmann, W.N., Massa, M., Rouwenhorst, K.G., 2000. Behavioral factors in mutual fund flows, Unpublished working paper. Yale School of Management.
Goetzmann W.N., Massa M., 2002. Daily momentum and contrarian behavior of index fund investors. Journal of Financial and Quantitative Analysis 37, 375-389
Hsu, E.W., 2004. An empirical study of the relationships among mutual fund flows, performances and market return. Thesis for Master degree. Chaoyang University of Technology.
Jolliffe, I.T., 2002. Principal component analysis, 2nd, Springer, New York.
Jones, C., 2002, A century of stock market liquidity and trading costs, Unpublished working paper. University of Columbia.
Harris, L., Gurel, E.,1986. Price and volume effects associated with changes in the S&P 500 list: new evidence for the existence of price pressures. Journal of Finance 41, 815-829.
Hastie, T., Tibshirani, R., and Friedman, J., 2001. The Elements of Statistical Learning; Data mining, Inference and Prediction.
Hirshleifer, D., Tyler S., 2003. Good day sunshine: Stock returns and the weather. The Journal of Finance 58, 1009-1032.
Kamstra, M. J., Lisa, A. K., Maurice, D. Levi, 2000. Losing sleep at the market: The daylight saving anomaly. American Economic Review 90, 1005-1011.
Khan, M., Kogan, L., Serafeim, G. 2009. Mutual fund trading pressure: Firm-level stock price Impact and timing of SEOs. Unpublished working paper.
Kling, G., Gao, L., 2008. Chinese institutional investors’ sentiment. Journal of International Financial Markets, Institutions and Mooney 18, 374-387.
Kothari, S. P., and Jay S., 1997. Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics 44, 169–203.
Lakonishok, J. Maberly, E., 1990. The Weekend effect: Trading patterns of individual and institutional investors, Journal of Finance 45:1, 231-243.
Lee, C.M.C., Shleifer, A., Thaler, R.D., 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75–109.
Li, B. I., 2001. Decisive factors on mutual fund flows: Individual and aggregate views. Thesis for Master degree. National Kaohsiung First University of Science and Technology.
Lin, I. C., 1999. The relation of mutual fund flows and market return. Thesis for Master degree. National Kaohsiung First University of Science and Technology.
Neal, R., Simon, W., 1998. Do measures of investor sentiment predict stock returns? Journal of Financial and Quantitative Analysis 34, 523–547.
Ritter, J., 1991. The long-run performance of initial public offerings. Journal of Finance 46, 3–27.
Saunders, E. M. J., 1993, Stock prices and Wall Street weather. The American
Economic Review 83, 1337-1345.
Schmitz, P., Glaser, M., Weber, M., 2009. Individual investor sentiment and stock returns - what do we learn from warrant traders? Unpublished working paper.
Shiller, R. J., 1981. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71, 421–436.
Shiller, R, J., Fumiko, K.Y.,Yoshiro, T., 1996. Why did the Nikkei Crash? Expanding the scope of expectations data collection. Review of Economics and Statistics 78:1, 156-64.
Shiller, R. J., 2000. Irrational Exuberance.
Shleifer, A., 1986. Do demand curve for stock slope down? Journal of Finance 3, 579-500.
Shleifer, A., Summers, L., 1990. The noise trader approach to finance, Journal of
Economic Perspectives 4(2), 19-33.
Siegel, J.J., 1992. Equity risk premia, corporate profit forecasts, and investor sentiment around the stock crash of October 19/87. Journal of Business 65, 557–570.
Solt, Michael E., Meir, S., 1988. How useful is the sentiment index? Financial Analysts Journal 44:5, 45-55.
Stigler, George J., 1964. Public regulation of the securities markets. Journal of Business 37, 117–142.
Summers, Lawrence H. 1986. Does the stock market rationally reflect fundamental values? Journal of Finance 41, 591–601.
Swaminathan, Bhaskaran, 1996. Time-varying expected small firm returns and closed-end fund discounts, Review of Financial Studies 9, 845–887.
Wang, Y. H., Aneel, K. S., Taylor J., 2006. The relationships between sentiment, returns and volatility. International Journal of Forecasting, 22, 109-123.
Warther, V. A., 1995. Aggregate mutual fund flows and security returns. Journal of Financial Economics 39, 209-235.
Yang, K. T., 2002, Relationship between mutual fund flows and security return. Thesis for Master degree. University of Soochow.
Zheng, L., 1999. Is money smart? A study of mutual fund investors’fund selection ability. Journal of Finance 54, 901-933.
Zweig, Martin E., 1973. An investor expectations stock price predictive model using closed-end fund premiums, Journal of Finance 28, 67-78
描述 碩士
國立政治大學
財務管理研究所
96357011
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0096357011
資料類型 thesis
dc.contributor.advisor 周行一zh_TW
dc.contributor.author (Authors) 馬嘉蓉zh_TW
dc.contributor.author (Authors) Ma, Chia Jungen_US
dc.creator (作者) 馬嘉蓉zh_TW
dc.creator (作者) Ma, Chia Jungen_US
dc.date (日期) 2009en_US
dc.date.accessioned 9-May-2016 15:16:12 (UTC+8)-
dc.date.available 9-May-2016 15:16:12 (UTC+8)-
dc.date.issued (上傳時間) 9-May-2016 15:16:12 (UTC+8)-
dc.identifier (Other Identifiers) G0096357011en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95142-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 96357011zh_TW
dc.description.abstract (摘要) In this paper, we find evidence that the mutual fund flows could be a good measure of investor sentiment, and inventors in Taiwan have independent sentiments about domestic and foreign markets. We further construct a sentiment index by principle component analysis, and show that investor sentiment measured by fund flows has no significant impact, although the sign is positive as expected, on concurrent market return. The results also suggest different sentiments embedded in mutual fund flows and stock market in Taiwan.zh_TW
dc.description.tableofcontents 1. Introduction 1
2. Literature Review 5
2.1 Investor sentiment and the stock market 5
2.2 Mutual fund flows and the stock market 5
2.3 Enlightenment for our research 6
3. Data and Methodology 8
3.1 Data and Classification 8
3.2 Measurement of Fund Flows and Returns 8
3.3 Investor sentiment index 9
4. Empirical results 10
4.1 If the mutual fund flows measure investor sentiment? 10
4.2 If fund flow sentiment proxy relates to market return? 13
5. Conclusion 16
Appendix 18
Reference 19
Tables 23		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0096357011en_US
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 共同基金zh_TW
dc.subject (關鍵詞) 主成分分析zh_TW
dc.title (題名) 投資人情緒是否影響股票市場？以共同基金流量檢視zh_TW
dc.title (題名) Does Taiwan stock market walk with investor sentiment?- Examination on mutual fund flowsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Abraham, David L. Ikenberry, 1994. The individual investor and the weekend effect, Journal of Financial and Quantitative Analysis 29, 263-277.
Baker, M., Stein J., 2004. Market liquidity as a sentiment indicator. Journal of Financial Markets 7, 271–299.
Baker, M., Wurgler, J., 2000. The equity share in new issues and aggregate stock returns. Journal of Finance 55, 2219–2257.
Baker, M., Wurgler, J., 2004. A catering theory of dividends. Journal of Finance 59, 1125–1165.
Baker, M., Wurgler, J., 2006. Investor Sentiment and the Cross-Section of Stock Returns. Journal of Finance 4, 1645-1680.
Barber, Brad, 1999, Noise Trader Risk, Odd-Lot Trading, and Security Returns. Unpublished working paper. University of California at Davis.
Barberis, N., Shleifer, A., 2001. Style Investing. Unpublished working paper. University of Chicago and Harvard University.
Bayless, M., Susan C., 1996. Is there a window of opportunity for seasoned equity issuance. Journal of Finance 51, 253-278.
Black, Fischer, 1986, Journal of Finance 41, 529-543.
Brauer, Greggory A., 1993, Investor sentiment and the closed-end fund puzzle: A 7 percent solution. Journal of Financial Services Research 7, 199-216.
Brown, G.W., 1999. Volatility, sentiment, and noise traders. Financial Analysts Journal 55, 82– 90.
Brown, S., Goetzmann, W., Hiraki, T., Shiraishi, N., Watanabe, M., 2005. Investor sentiment in Japanese and US daily mutual fund flows. Unpublished working paper. University of Yale.
Brown, G. W., and Cliff M. T., 2004. Investor sentiment and the near-term stock market, Journal of Empirical Finance 11, 1-27.
Brown, G. W., and Cliff M. T., 2005. Investor Sentiment and Asset Valuation. Journal of Business 78:2, 405-440.
Chen, N. F., Roll R., Ross, S. A., 1986. Economic forces and the stock market. Journal of Business 59, 383-403.
Chen, N., Kan, R., Miller, M., 1993. Are the discounts on closed-end funds a sentiment index? Journal of Finance 48, 795–800.
Chen, B. S., 2000. The relation of mutual fund flows, performance and market return. Thesis for Master degree. National Kaohsiung First University of Science and Technology.
Choe, Hyuk, Ronald Masulis and Vikram Nanda, 1993. Common stock offerings
across the business cycle: Theory and evidence, Journal of Empirical Finance 1, 3-31.
Chopra, Navin, Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler, 1993. Yes,
Discounts on closed-end funds are a sentiment index, Journal of Finance 48, 801-808.
Chow, B.H., Chang, W.C., Lin, M.C., 2007. Interaction between Investor sentiment and stock return, Taiwan Social Sciences Citation Index 20:1.
Clarke, Roger G. and Meir Statman. 1998. Bullish or Bearish, Financial Analysts
Journal 54:6, 63-72.
Comincioli, B., and Wesleyan, I., 1996. The stock market as a leading indicator: An application of granger causality. The University Avenue Undergraduate Journal of Economics.
De Long, J. B., Shleifer A., Summers L. H. Waldmann R., 1990. Noise trader risk in financial markets. Journal of Political Economy 98, 703–738.
Din, U. R., 2003, Correlation on mutual fund flows and stock return. Thesis for Master degree. Chaoyabg University of Technology.
Edelen, R. M., Warner, J. B., 2001. Aggregate price effects of institutional trading: A study of mutual fund flow and market returns. Journal of Financial Economics, 59, 195-220.
Edwards, F. R., and Zhang, X., 1998. Mutual funds and stock and bond market stability. Journal of Financial Service Research 13:3. 257-282
Elton, E.J., Gruber, M.J., Busse, J.A., 1998. Do investors care about sentiment? Journal of Business 71, 477– 500.
Froot, Kenneth A. and Emil M. Dabora, 1999.How are stock prices affected by the location of trade? Journal of Financial Economics, 53, 189-216.
Glaser, M., Martin W., 2007. Overconfidence and trading volume, Geneva Risk and Insurance Review 32, 1-36.
Goetzmann, W.N., Massa, M., Rouwenhorst, K.G., 2000. Behavioral factors in mutual fund flows, Unpublished working paper. Yale School of Management.
Goetzmann W.N., Massa M., 2002. Daily momentum and contrarian behavior of index fund investors. Journal of Financial and Quantitative Analysis 37, 375-389
Hsu, E.W., 2004. An empirical study of the relationships among mutual fund flows, performances and market return. Thesis for Master degree. Chaoyang University of Technology.
Jolliffe, I.T., 2002. Principal component analysis, 2nd, Springer, New York.
Jones, C., 2002, A century of stock market liquidity and trading costs, Unpublished working paper. University of Columbia.
Harris, L., Gurel, E.,1986. Price and volume effects associated with changes in the S&P 500 list: new evidence for the existence of price pressures. Journal of Finance 41, 815-829.
Hastie, T., Tibshirani, R., and Friedman, J., 2001. The Elements of Statistical Learning; Data mining, Inference and Prediction.
Hirshleifer, D., Tyler S., 2003. Good day sunshine: Stock returns and the weather. The Journal of Finance 58, 1009-1032.
Kamstra, M. J., Lisa, A. K., Maurice, D. Levi, 2000. Losing sleep at the market: The daylight saving anomaly. American Economic Review 90, 1005-1011.
Khan, M., Kogan, L., Serafeim, G. 2009. Mutual fund trading pressure: Firm-level stock price Impact and timing of SEOs. Unpublished working paper.
Kling, G., Gao, L., 2008. Chinese institutional investors’ sentiment. Journal of International Financial Markets, Institutions and Mooney 18, 374-387.
Kothari, S. P., and Jay S., 1997. Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics 44, 169–203.
Lakonishok, J. Maberly, E., 1990. The Weekend effect: Trading patterns of individual and institutional investors, Journal of Finance 45:1, 231-243.
Lee, C.M.C., Shleifer, A., Thaler, R.D., 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75–109.
Li, B. I., 2001. Decisive factors on mutual fund flows: Individual and aggregate views. Thesis for Master degree. National Kaohsiung First University of Science and Technology.
Lin, I. C., 1999. The relation of mutual fund flows and market return. Thesis for Master degree. National Kaohsiung First University of Science and Technology.
Neal, R., Simon, W., 1998. Do measures of investor sentiment predict stock returns? Journal of Financial and Quantitative Analysis 34, 523–547.
Ritter, J., 1991. The long-run performance of initial public offerings. Journal of Finance 46, 3–27.
Saunders, E. M. J., 1993, Stock prices and Wall Street weather. The American
Economic Review 83, 1337-1345.
Schmitz, P., Glaser, M., Weber, M., 2009. Individual investor sentiment and stock returns - what do we learn from warrant traders? Unpublished working paper.
Shiller, R. J., 1981. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71, 421–436.
Shiller, R, J., Fumiko, K.Y.,Yoshiro, T., 1996. Why did the Nikkei Crash? Expanding the scope of expectations data collection. Review of Economics and Statistics 78:1, 156-64.
Shiller, R. J., 2000. Irrational Exuberance.
Shleifer, A., 1986. Do demand curve for stock slope down? Journal of Finance 3, 579-500.
Shleifer, A., Summers, L., 1990. The noise trader approach to finance, Journal of
Economic Perspectives 4(2), 19-33.
Siegel, J.J., 1992. Equity risk premia, corporate profit forecasts, and investor sentiment around the stock crash of October 19/87. Journal of Business 65, 557–570.
Solt, Michael E., Meir, S., 1988. How useful is the sentiment index? Financial Analysts Journal 44:5, 45-55.
Stigler, George J., 1964. Public regulation of the securities markets. Journal of Business 37, 117–142.
Summers, Lawrence H. 1986. Does the stock market rationally reflect fundamental values? Journal of Finance 41, 591–601.
Swaminathan, Bhaskaran, 1996. Time-varying expected small firm returns and closed-end fund discounts, Review of Financial Studies 9, 845–887.
Wang, Y. H., Aneel, K. S., Taylor J., 2006. The relationships between sentiment, returns and volatility. International Journal of Forecasting, 22, 109-123.
Warther, V. A., 1995. Aggregate mutual fund flows and security returns. Journal of Financial Economics 39, 209-235.
Yang, K. T., 2002, Relationship between mutual fund flows and security return. Thesis for Master degree. University of Soochow.
Zheng, L., 1999. Is money smart? A study of mutual fund investors’fund selection ability. Journal of Finance 54, 901-933.
Zweig, Martin E., 1973. An investor expectations stock price predictive model using closed-end fund premiums, Journal of Finance 28, 67-78		zh_TW