| dc.contributor.advisor | 周冠男 | zh_TW |
| dc.contributor.author (Authors) | 鄭乃仁 | zh_TW |
| dc.contributor.author (Authors) | Zheng, Nai-Ren | en_US |
| dc.creator (作者) | 鄭乃仁 | zh_TW |
| dc.creator (作者) | Zheng, Nai-Ren | en_US |
| dc.date (日期) | 2020 | en_US |
| dc.date.accessioned | 1-Jul-2020 13:39:39 (UTC+8) | - |
| dc.date.available | 1-Jul-2020 13:39:39 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-Jul-2020 13:39:39 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0107357028 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/130535 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理學系 | zh_TW |
| dc.description (描述) | 107357028 | zh_TW |
| dc.description.abstract (摘要) | 本研究旨在探討投資人關注度、投資人情緒與臺灣個股股價報酬率之關係。以2004年1月至2019年12月之元大台灣卓越50基金與元大台灣中型100基金的標的公司，刪除期間資料不齊全的公司後作為個股之樣本，探討臺灣個股股票報酬率如何受到投資人關注度與投資人情緒影響。首先，本研究採用主成分分析法來建構綜合投資人情緒指標，並以市場週轉率以及券資比作為投資人情緒的代理變數。除了考慮投資人情緒之外，本研究亦考慮投資人關注度，並以Google搜尋量指數作為投資人關注度的代理變數。接著，本研究先探討投資人情緒與投資人關注度之相關性，最後再以Carhart四因子模型加入投資人情緒與投資人關注度等兩個自變數進行迴歸分析，探討投資人情緒與投資人關注度是否對於臺灣個股股價報酬率具有解釋能力。研究結果顯示投資人關注度與投資人情緒為正相關，表示當投資人關注度高漲時，投資人情緒亦高漲。投資人情緒與個股股價報酬率呈正向關係；投資人關注度亦與個股股價報酬率呈正向關係，表示投資人情緒高漲時，股價報酬率亦上升；而投資人關注度高漲時，股價報酬率亦上升。此外，研究結果亦顯示臺灣股票市場存在規模溢酬、價值溢酬以及動能溢酬。 | zh_TW |
| dc.description.abstract (摘要) | The purpose of this study is to examine the relationship between investor attention, investor sentiment, and the return of individual stocks in Taiwan. We used the underlying firms of Yuanta Taiwan Excellence 50 Fund and Yuanta Taiwan Medium 100 Fund from January 2004 to December 2019 as the sample, the firms with incomplete information during the period were dropped out from our sample.First, we applied the method of principal components analysis to form a composite sentiment index, and used market turnover and short sale to margin purchase ratio as proxies of investor sentiment. Besides considering investor sentiment, we also consider investor attention and uses the Google Search Volume Index as a proxy for investor attention.Next, we tried to find the correlation between investor sentiment and investor attention. Finally, the Carhart four-factor model with two additional independent variables, which are investor sentiment and investor attention, was applied for regression analysisThe results show that investor sentiment is positively correlated with investor attention, investor sentiment is positively correlated with individual stock returns, and investor attention is also positively correlated with individual stock price returns. The result also indicates that size effect, value effect, and momentum do exist in the Taiwanese stock market. | en_US |
| dc.description.tableofcontents | Chapter 1. Introduction…………………………………………………11.1 Research Background………………………………………………………………11.2 Motivation of the Study………………………………………………………………………31.3 Chapter Outline……………………………………………………………………3Chapter 2. Literature Review……………………………………………………………………52.1 Measures of Investor Sentiment………………………………………………………………52.2 The Relationship between Investor Sentiment and Stock Market Return…72.3 Investor Attention and Google Search Volume Index…………8Chapter 3. Data and Methodology……………………………………103.1 Data Description……………………………………………………103.2 Hypothesis and Methodology……………………………………18Chapter 4. Empirical Results…………………………………………22Chapter 5. Conclusions………………………………………………25References……………………………………………………………27 | zh_TW |
| dc.format.extent | 815696 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0107357028 | en_US |
| dc.subject (關鍵詞) | 投資人情緒 | zh_TW |
| dc.subject (關鍵詞) | 投資人關注度 | zh_TW |
| dc.subject (關鍵詞) | 主成分分析 | zh_TW |
| dc.subject (關鍵詞) | Google搜尋量指數 | zh_TW |
| dc.subject (關鍵詞) | Carhart四因子模型 | zh_TW |
| dc.subject (關鍵詞) | Investor Sentiment | en_US |
| dc.subject (關鍵詞) | Investor Attention | en_US |
| dc.subject (關鍵詞) | Principal Components Analysis | en_US |
| dc.subject (關鍵詞) | Google Search Volume Index | en_US |
| dc.subject (關鍵詞) | Carhart Four-Factor Model | en_US |
| dc.title (題名) | Google搜尋量指數、投資人情緒與臺灣股價報酬率之關係 | zh_TW |
| dc.title (題名) | The Relationship between Google Search Volume Index, Investor Sentiment and Stock Market Returns in Taiwan | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 1. Antweriler W. and Frank M.Z. (2004). Is all that talk just noise? The information content of internet stock message boards, Journal of Finance, 59(3): 1259-1294.2. Brown G.W. and Cliff M.T. (2004). Investor sentiment and the near-term stock market, Journal of Empirical Finance, 11: 1-27.3. Baker M. and Stein J.C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7: 271-299.4. Baker M. and Wurgler J. (2000). The equity share in new issues and aggregate stock returns, Journal of Finance, 55(5): 2219-2257.5. Baker M. and Wurgler J. (2004). A catering theory of dividends, Journal of Finance, 59(3): 1125-1165.6. Baker M. and Wurgler J. (2006). Investor sentiment and the cross-section of stock returns, Journal of Finance, 61(4): 1645-1680.7. DeLong J.B., Shleifer A., Summers L.H. and Waldmann R.J. (1990). Noise trader risk in financial markets, Journal of Political Economy, 98(4): 703-738.8. Da Z., Engelberg J. and Gao P. (2011). In search of attention, Journal of Finance, 66(5): 1461-1499.9. Fehle F., Tsyplakov S., and Zdorovtsov V. (2005). Can companies influence investor behavior through advertising? Super bowl commercials and stock returns, European Financial Management, 11(5):625-647.10. Hirshleifer D. and Shumway T. (2003). Good day sunshine: Stock returns and the weather, Journal of Finance, 58(3): 1009-1032.11. Kim Y.H. and Meschke F. (2011). CEO interviews on CNBC, Working Paper.12. Malkiel B.G. (1977). The valuation of closed-end investment-company shares, Journal of Finance, 32(3): 847-859.13. Saunders E.M., Jr. (1993). Stock prices and wall street weather, The American Economic Review, 83(5): 1337-1345.14. Shiller R.J., Kon-Ya F. and Tsutsui Y. (1996). Why did the Nikkei crash? Expanding the scope of expectations data collection, The Review of Economics and Statistics, 78(1): 156-164.15. Takeda F. and Wakao T. (2014). Google search intensity and its relationship with returns and trading volume of Japanese stocks, Pacific-Basin Finance Journal, 27: 1-18.16. Vlastakis N. and Markellos R.N. (2012). Information demand and stock market volatility, Journal of Banking and Finance, 36(6): 1808-1821.17. Gao Z., Ren H., and Zhang B. (2019). Googling investor sentiment around the world, Journal of Financial and Quantitative Analysis, 55(2): 549-580.18. Chou, Chang, and Lin (2007). 周賓凰、張宇志和林美珍 (2007)，「投資人情緒與股票報酬互動關係」，證券市場發展季刊，第45期，第1-32頁。19. Hsu, Kuo, and Cheng (2005). 許溪南、郭玟秀和鄭乃誠 (2005)，「投資人情緒與股票報酬互動關係：臺灣股價之實證」，臺灣金融財務季刊，第6卷，第3期，第107-121頁 。 | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU202000593 | en_US |
