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題名 樂透股的GOOGLE搜尋量指數與股票報酬之關係
The Relationship Between Google Search Volume Index for Lottery-Like Stocks and Stock Returns
作者 吳祐誠
Wu, You-Cheng
貢獻者 周冠男
Chou, Robin K.
吳祐誠
Wu, You-Cheng
關鍵詞 行為財務
投資人情緒
關注度
SVI
樂透股
Behavioral Finance
Investor Sentiment
Attention
SVI
Lottery Stocks
日期 2024
上傳時間 1-Jul-2024 12:40:46 (UTC+8)
摘要 本研究調查了台灣股市中較少被探討的樂透型股票及搜尋量指數（SVI）在理解這些股票動態中的應用。台灣關於樂透型股票的研究相對稀少，本研究旨在填補這一缺口，而使用SVI作為投資者注意力的衡量工具更近期，本研究假設認為SVI與這些高風險、高回報投資的出現和交易量有內在聯繫，希望可以看到相關的數據證明此事。 研究方法涉及從台灣股市中選取樂透型股票的過程，這些股票的特徵是高波動、偏度與低股價。為捕捉投資者注意力的細微變化，構建了異常搜尋量指數（ASVI）和綜合情緒指標。本研究採用了分位數回歸分析數據，以處理樂透型股票回報中典型的不對稱性和極端值。我們的研究發現顯示，ASVI的變化與台灣股市樂透型股票的回報顯著相關，證實了假設：即投資者注意力對股票表現有明顯影響。結果不僅強調了將Google趨勢等數字軌跡數據整合到樂透股中的相關性，還突顯了這類非傳統數據在預測受投資者情緒影響的市場環境中市場行為的潛力。
This research investigates the underexplored area of lottery-like stocks in the Taiwan stock market and the application of the Search Volume Index (SVI) in understanding the dynamics of these stocks. Research on lottery-like stocks in Taiwan is relatively scarce, and this study aims to fill this gap. Using SVI as a measure of investor attention is a recent development; this study hypothesizes that SVI is linked to the appearance and trading volumes of these high-risk, high-return investments. We expect to find data supporting this link. The methodology involves selecting lottery-like stocks characterized by high volatility, skewness and low-price. An Abnormal Search Volume Index (ASVI) and a composite sentiment index are developed to capture shifts in investor attention. Quantile regression is used to manage the asymmetries and extreme values in the returns of these stocks. Our findings indicate that changes in ASVI significantly correlate with the returns of lottery-like stocks in the Taiwan stock market. This confirms the hypothesis that investor attention impacts stock performance. The results highlight the importance of integrating digital trace data such as Google Trends into the analysis of lottery stocks. We also show the potential of such non-traditional data in predicting market behaviors in environments influenced by investor sentiment.
參考文獻 Baker, M. and Wurgler, J. (2006). Investor Sentiment and the Cross-Section of Stock Returns, Journal of Finance, 61(4): 1645-1680. Baker, M. and Wurgler, J. (2007). Investor Sentiment in the Stock Market, Journal of Economic Perspectives, 21(2): 129-151. Barber, B. M. and Odean, T. (2000). Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors, Journal of Finance, 55(2): 773-806. Barber, B. M. and Odean, T. (2008). All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, Review of Financial Studies, 21(2): 785-818. Brown, G. W. and Cliff, M. T. (2004). Investor Sentiment and the Near-Term Stock Market, Journal of Empirical Finance, 11(1): 1-27. Campos, I., Cortazar, G., and Reyes, T. (2017). Modeling and predicting oil VIX: Internet search volume versus traditional variables, Energy Economics, 66: 194-204. Chai, D., Dai, M., Gharghori, P. and Hong, B. (2021), Internet Search Intensity and Its Relation with Trading Activity and Stock Returns† . International Review of Finance, 21: 282-311. Chou, R. Y., Lin, J.-L. and Wu, C.-S. (1999). Modeling the Taiwan Stock Market and International Linkages, Pacific Economic Review, 4(3): 305-320. Chou, B.-H., Chang, Y.-C., & Lin, M.-C. (2019). Investor Sentiment and Stock Return Interaction. Quarterly Journal of Securities Markets Development, Special Issue on Behavioral Finance, 153-190. Da, Z., Engelberg, J. and Gao, P. (2011). In Search of Attention, Journal of Finance, 66(5): 1461-1499. Eraker, B. and Ready, M. J. (2015). Do Investors Overpay for Stocks with Lottery-Like Payoffs? An Examination of the Returns of OTC Stocks, Journal of Financial Economics, 115(3): 486–504 Fisher, K. L. and Statman, M. (2000). Investor Sentiment and Stock Returns, Financial Analysts Journal, 56(2): 16-23. Audrino, F., Sigrist, F., and Ballinari, D. (2020). The impact of sentiment and attention measures on stock market volatility, International Journal of Forecasting, 36(2): 334-357. Kahneman, D. and Tversky, A. (1979). Prospect Theory: An analysis of Decision under Risk, Econometrica, 47(2): 263-292. Kahneman, D. 1973. Attention and Effort (Englewood Cliffs, New Jersey: Prentice-Hall). Ko, C.-R. and Chang, H.-T. (2021). LSTM-based sentiment analysis for stock price forecast, PeerJ Computer Science, 7:e408. Koenker, R., & Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. Kumar, A. (2009). Who Gambles in the Stock Market?, Journal of Finance, 64(4): 1889-1933. Kuo, Yu-Hsiang. (2020). “Study of the lottery-type stocks for Taiwan stock markets” (Master’s thesis, Tamkang University) Meng, H. (2023). A Brief Analysis of The Impact of Investor Sentiment on Stock Prices in The Chinese Stock Market, Frontiers in Business, Economics and Management, 11(2): 61-64. Preis, T., Moat, H. S. and Stanley, H. E. (2013). Quantifying Trading Behavior in Financial Markets Using Google Trends, Nature Scientific Reports, 3: 1684. Shiller, R. J. (1981). Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?, American Economic Review, 71(3): 421-436. Vozlyublennaia, N. (2014). Investor Attention, Index Performance, and Return Predictability, Journal of Banking & Finance, 41: 17-35. Wang, Yun-Sheng. (2019). “Can we predict the future return of lottery-like stocks?” (Master’s thesis, National University of Kaohsiung)
描述 碩士
國立政治大學
財務管理學系
111357038
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357038
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Chou, Robin K.en_US
dc.contributor.author (Authors) 吳祐誠zh_TW
dc.contributor.author (Authors) Wu, You-Chengen_US
dc.creator (作者) 吳祐誠zh_TW
dc.creator (作者) Wu, You-Chengen_US
dc.date (日期) 2024en_US
dc.date.accessioned 1-Jul-2024 12:40:46 (UTC+8)-
dc.date.available 1-Jul-2024 12:40:46 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2024 12:40:46 (UTC+8)-
dc.identifier (Other Identifiers) G0111357038en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152072-
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) 111357038zh_TW
dc.description.abstract (摘要) 本研究調查了台灣股市中較少被探討的樂透型股票及搜尋量指數（SVI）在理解這些股票動態中的應用。台灣關於樂透型股票的研究相對稀少，本研究旨在填補這一缺口，而使用SVI作為投資者注意力的衡量工具更近期，本研究假設認為SVI與這些高風險、高回報投資的出現和交易量有內在聯繫，希望可以看到相關的數據證明此事。 研究方法涉及從台灣股市中選取樂透型股票的過程，這些股票的特徵是高波動、偏度與低股價。為捕捉投資者注意力的細微變化，構建了異常搜尋量指數（ASVI）和綜合情緒指標。本研究採用了分位數回歸分析數據，以處理樂透型股票回報中典型的不對稱性和極端值。我們的研究發現顯示，ASVI的變化與台灣股市樂透型股票的回報顯著相關，證實了假設：即投資者注意力對股票表現有明顯影響。結果不僅強調了將Google趨勢等數字軌跡數據整合到樂透股中的相關性，還突顯了這類非傳統數據在預測受投資者情緒影響的市場環境中市場行為的潛力。zh_TW
dc.description.abstract (摘要) This research investigates the underexplored area of lottery-like stocks in the Taiwan stock market and the application of the Search Volume Index (SVI) in understanding the dynamics of these stocks. Research on lottery-like stocks in Taiwan is relatively scarce, and this study aims to fill this gap. Using SVI as a measure of investor attention is a recent development; this study hypothesizes that SVI is linked to the appearance and trading volumes of these high-risk, high-return investments. We expect to find data supporting this link. The methodology involves selecting lottery-like stocks characterized by high volatility, skewness and low-price. An Abnormal Search Volume Index (ASVI) and a composite sentiment index are developed to capture shifts in investor attention. Quantile regression is used to manage the asymmetries and extreme values in the returns of these stocks. Our findings indicate that changes in ASVI significantly correlate with the returns of lottery-like stocks in the Taiwan stock market. This confirms the hypothesis that investor attention impacts stock performance. The results highlight the importance of integrating digital trace data such as Google Trends into the analysis of lottery stocks. We also show the potential of such non-traditional data in predicting market behaviors in environments influenced by investor sentiment.en_US
dc.description.tableofcontents 1. Introduction 1 1.1 Research Background 1 1.2 Motivation of the Study 4 1.3 Chapter Outline 5 2. Literature Review 7 2.1 Investor Sentiment 7 2.2 Investor Attention and Google Search Volume Index (SVI) 9 2.3 Lottery-type stocks 11 3. Data Collection and Methodology 13 3.1 Data Description 13 3.2 Constructing the Composite Sentiment Index 14 3.3 Constructing the ASVI Indicator 16 3.4 Screening Process for Lottery-Type Stocks 19 3.5 Hypothesis 21 4. Empirical Results 24 4.1 Descriptive Statistics 24 4.1.1 Current Period Data for Lottery Stocks 24 4.1.2 Next Period Data for Lottery Stocks 28 4.2 Model 31 4.2.1 Current Period Data for Lottery Stocks 32 4.2.2 Current Period Data for Lottery Stocks 34 5. Conclusions 36 References 38 Appendix 40zh_TW
dc.format.extent 1209721 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357038en_US
dc.subject (關鍵詞) 行為財務zh_TW
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 關注度zh_TW
dc.subject (關鍵詞) SVIzh_TW
dc.subject (關鍵詞) 樂透股zh_TW
dc.subject (關鍵詞) Behavioral Financeen_US
dc.subject (關鍵詞) Investor Sentimenten_US
dc.subject (關鍵詞) Attentionen_US
dc.subject (關鍵詞) SVIen_US
dc.subject (關鍵詞) Lottery Stocksen_US
dc.title (題名) 樂透股的GOOGLE搜尋量指數與股票報酬之關係zh_TW
dc.title (題名) The Relationship Between Google Search Volume Index for Lottery-Like Stocks and Stock Returnsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Baker, M. and Wurgler, J. (2006). Investor Sentiment and the Cross-Section of Stock Returns, Journal of Finance, 61(4): 1645-1680. Baker, M. and Wurgler, J. (2007). Investor Sentiment in the Stock Market, Journal of Economic Perspectives, 21(2): 129-151. Barber, B. M. and Odean, T. (2000). Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors, Journal of Finance, 55(2): 773-806. Barber, B. M. and Odean, T. (2008). All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, Review of Financial Studies, 21(2): 785-818. Brown, G. W. and Cliff, M. T. (2004). Investor Sentiment and the Near-Term Stock Market, Journal of Empirical Finance, 11(1): 1-27. Campos, I., Cortazar, G., and Reyes, T. (2017). Modeling and predicting oil VIX: Internet search volume versus traditional variables, Energy Economics, 66: 194-204. Chai, D., Dai, M., Gharghori, P. and Hong, B. (2021), Internet Search Intensity and Its Relation with Trading Activity and Stock Returns† . International Review of Finance, 21: 282-311. Chou, R. Y., Lin, J.-L. and Wu, C.-S. (1999). Modeling the Taiwan Stock Market and International Linkages, Pacific Economic Review, 4(3): 305-320. Chou, B.-H., Chang, Y.-C., & Lin, M.-C. (2019). Investor Sentiment and Stock Return Interaction. Quarterly Journal of Securities Markets Development, Special Issue on Behavioral Finance, 153-190. Da, Z., Engelberg, J. and Gao, P. (2011). In Search of Attention, Journal of Finance, 66(5): 1461-1499. Eraker, B. and Ready, M. J. (2015). Do Investors Overpay for Stocks with Lottery-Like Payoffs? An Examination of the Returns of OTC Stocks, Journal of Financial Economics, 115(3): 486–504 Fisher, K. L. and Statman, M. (2000). Investor Sentiment and Stock Returns, Financial Analysts Journal, 56(2): 16-23. Audrino, F., Sigrist, F., and Ballinari, D. (2020). The impact of sentiment and attention measures on stock market volatility, International Journal of Forecasting, 36(2): 334-357. Kahneman, D. and Tversky, A. (1979). Prospect Theory: An analysis of Decision under Risk, Econometrica, 47(2): 263-292. Kahneman, D. 1973. Attention and Effort (Englewood Cliffs, New Jersey: Prentice-Hall). Ko, C.-R. and Chang, H.-T. (2021). LSTM-based sentiment analysis for stock price forecast, PeerJ Computer Science, 7:e408. Koenker, R., & Bassett, G. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. Kumar, A. (2009). Who Gambles in the Stock Market?, Journal of Finance, 64(4): 1889-1933. Kuo, Yu-Hsiang. (2020). “Study of the lottery-type stocks for Taiwan stock markets” (Master’s thesis, Tamkang University) Meng, H. (2023). A Brief Analysis of The Impact of Investor Sentiment on Stock Prices in The Chinese Stock Market, Frontiers in Business, Economics and Management, 11(2): 61-64. Preis, T., Moat, H. S. and Stanley, H. E. (2013). Quantifying Trading Behavior in Financial Markets Using Google Trends, Nature Scientific Reports, 3: 1684. Shiller, R. J. (1981). Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?, American Economic Review, 71(3): 421-436. Vozlyublennaia, N. (2014). Investor Attention, Index Performance, and Return Predictability, Journal of Banking & Finance, 41: 17-35. Wang, Yun-Sheng. (2019). “Can we predict the future return of lottery-like stocks?” (Master’s thesis, National University of Kaohsiung)zh_TW