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題名 投資人情緒對樂透型股票的報酬影響-以台灣市場為例
The influence of Investor sentiment on returns in Lottery stocks-A Taiwanese market perspective
作者 張晉豪
ZHANG, JIN-HAO
貢獻者 郭維裕
張晉豪
ZHANG, JIN-HAO
關鍵詞 投資人情緒
樂透型股票
主成份分析法
偏最小二乘迴歸法
Investor Sentiment
Lottery-like Stocks
Principal Component Analysis
Partial Least Squares Regression
日期 2024
上傳時間 5-Aug-2024 11:58:13 (UTC+8)
摘要 台灣的股票市場為一淺碟市場，考量到大部份投資人會有不理性的投資決策，因此台灣的股票市場是非常適合拿來進行行為財務學的相關研究，本研究便以台灣市場上所能取得的投資人情緒代理變數作為主要自變數，並將生技醫療股作為樂透型股票的典型例子，分析投資人情緒代理變數是否會影響生技醫療股的報酬，並且過往研究投資人情緒的相關議題，大多是利用主成份分析法(PCA)作為主成份的篩選，再進行相關的迴歸分析，本研究欲利用偏最小二乘迴歸法(PLS)與其進行解釋能力高低的比較。實證結果顯示，偏最小二乘迴歸法(PLS)的解釋能力確實比利用主成份分析法(PCA)更好，並且投資人情緒代理變數裡面的股價上漲家數除以股價下跌家數(ADVDEC)具有最佳顯著的解釋能力，並且與生技醫療股的報酬呈現正相關，次佳的新開戶人數(INR)則是與生技醫療股的報酬率呈現負相關；而在主成份分析法(PCA)裡較具解釋能力的買賣權未平倉比(PCR)是與報酬率呈現正相關，但在偏最小二乘迴歸法(PLS)較無顯著的結果。 綜合兩法之比較所得到的結果，股價上漲家數除以股價下跌家數(ADVDEC)對於解釋生技醫療股的報酬率是最佳的投資人情緒代理變數，且利用PLS法來整合投資人情緒變數確實比利用PCA法更具有解釋能力。
The Taiwan stock market is a shallow market, considering that most investors tend to make irrational investment decisions. Therefore, the Taiwan stock market is highly suitable for behavioral finance research. This study uses investor sentiment proxy variables obtainable from the Taiwan market as the primary independent variables, and takes biotech and healthcare stocks as typical examples of lottery-like stocks. The study analyzes whether investor sentiment proxy variables affect the returns of biotech and healthcare stocks. Previous studies on investor sentiment topics mostly use Principal Component Analysis (PCA) for component selection, followed by related regression analysis. This study aims to compare the explanatory power between Partial Least Squares Regression (PLS) and PCA. The empirical results show that PLS indeed has better explanatory power than PCA. Among the investor sentiment proxy variables, the number of advancing stocks divided by the number of declining stocks (ADVDEC) has the most significant explanatory power and is positively correlated with the returns of biotech and healthcare stocks. The second best, the number of new accounts (INR), is negatively correlated with the returns of biotech and healthcare stocks. The Put-Call Ratio (PCR), which has better explanatory power in PCA, is positively correlated with returns, but does not show significant results in PLS. Combining the results of both methods, ADVDEC is identified as the best investor sentiment proxy variable for explaining the returns of biotech and healthcare stocks, and using PLS to integrate investor sentiment variables indeed has better explanatory power than using PCA.
參考文獻 Alldredge, D. M. (2020). Institutional trading, investor sentiment, and lottery-like stock preferences. The Financial Review, 55(4), 603-624. Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271-299. Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129-152. Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446. Barberis, N., & Huang, M. (2008). Stocks as lotteries: The implications of probability weighting for security prices. American Economic Review, 98(5), 2066-2100. Bergeron, M. Y., Savor, M., & Kryzanowski, L. (2004). Key issues of venture capital investing in foreign markets: The case of Canadian biotechnology companies. The Journal of Private Equity, 7(3), 47-54. Bis, G. (2007). Small cap premium: Does liquidity hold water? (Honors thesis, Leonard N. Stern School of Business, New York University). Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27. Bruneo, H., Giacomini, E., Iannotta, G., Murthy, A., & Patris, J. (2023). Risk and return in the biotech industry. Journal of Business Research. Chen, H., Kumar, A., & Zhang, C. (2021). The power of the pen: How analyst recommendations influence investor decisions. Journal of Financial Economics, 139(2), 447-473. Chen, X., Zhao, Y., Li, Y., & Lu, Z. (2020). A dynamic analysis of the relationship between investor sentiment and stock market realized volatility: Evidence from China. PLoS ONE, 15(12), e0243080. De Bondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793-805. Devenow, A., Welch, I., & Huang, M. (2008). Searching for gambles: Gambling sentiment and stock market outcomes. Journal of Finance, 63(4), 1971-2011. Emanuel, E. J., Persad, G., Kern, A., Buchanan, A., Fabre, C., Halliday, D., Heath, J., Herzog, L., Leland, R. J., Lemango, E. T., Luna, F., McCoy, M. S., Norheim, O. F., Ottersen, T., Tan, K. C., & Wolff, J. (2020). Options using a collective lottery to ration vaccines during an influenza pandemic. Lancet, 395(10233), 1525-1534. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-417. Friedman, M., & Savage, L. J. (1948). The utility analysis of choices involving risk. Journal of Political Economy, 56(4), 279-304. Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015). Investor sentiment aligned: A powerful predictor of stock returns. The Review of Financial Studies, 28(3), 791-837. Jena, S. K., Tiwari, C., & Mitra, S. (2019). Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis. Journal of Risk and Financial Management, 12(4), 1-22. Jiao, Y. (2016). Investor preference and stock price underreaction: Evidence from post earnings announcement drift. Journal of Financial Markets, 33, 99-123. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-291. Kliger, D., Rothman, T., & Mousavi, S. (2021). Pharmaceutical lottery stocks: Investors’ reaction to FDA announcements. SSRN. https://ssrn.com/abstract=3911774 Kumar, A. (2009). Who gambles in the stock market? The Journal of Finance, 64(4), 1889-1933. Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315-1335. Meng, Y., & Pantzalis, C. (2020). Lottery-type stocks and corporate strategies at the turn of the month. Review of Quantitative Finance and Accounting, 56(4), 1027-1055. Shleifer, A. (2000). Inefficient markets: An introduction to behavioral finance. Oxford University Press. Tamplin, T. (2023). Creating a small business financial plan. Finance Strategists. Retrieved June 13, 2024, from https://www.financestrategists.com/financial-advisor/financial-planning/creating-a-small-business-financial-plan/ Thaler, R. H., & Ziemba, W. T. (1988). Anomalies: Parimutuel betting markets: Racetracks and lotteries. Journal of Economic Perspectives, 2(2), 161-174. Wang, W., Su, C., & Duxberry, D. (2021). Investor sentiment and stock returns: Global evidence. Journal of Empirical Finance, 63, 365-391. Zhou, W. (2018). Measuring investor sentiment. Annual Review of Financial Economics, 10, 239-263. 周賓凰, 張宇志, & 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, 19(2), 153-190. 蔡佩容, 王元章, & 張卓眾. (2009). 投資人情緒、公司特徵與台灣股票報酬之研究. 經濟研究, 45(2), 273-322. 鄭高輯, & 林泉源. (2010). 投資人情緒對投機型股票報酬之影響. 商學略報, 2(1), 21-35.
描述 碩士
國立政治大學
國際經營與貿易學系
111351041
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111351041
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 張晉豪zh_TW
dc.contributor.author (Authors) ZHANG, JIN-HAOen_US
dc.creator (作者) 張晉豪zh_TW
dc.creator (作者) ZHANG, JIN-HAOen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 11:58:13 (UTC+8)-
dc.date.available 5-Aug-2024 11:58:13 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 11:58:13 (UTC+8)-
dc.identifier (Other Identifiers) G0111351041en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152404-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 111351041zh_TW
dc.description.abstract (摘要) 台灣的股票市場為一淺碟市場，考量到大部份投資人會有不理性的投資決策，因此台灣的股票市場是非常適合拿來進行行為財務學的相關研究，本研究便以台灣市場上所能取得的投資人情緒代理變數作為主要自變數，並將生技醫療股作為樂透型股票的典型例子，分析投資人情緒代理變數是否會影響生技醫療股的報酬，並且過往研究投資人情緒的相關議題，大多是利用主成份分析法(PCA)作為主成份的篩選，再進行相關的迴歸分析，本研究欲利用偏最小二乘迴歸法(PLS)與其進行解釋能力高低的比較。實證結果顯示，偏最小二乘迴歸法(PLS)的解釋能力確實比利用主成份分析法(PCA)更好，並且投資人情緒代理變數裡面的股價上漲家數除以股價下跌家數(ADVDEC)具有最佳顯著的解釋能力，並且與生技醫療股的報酬呈現正相關，次佳的新開戶人數(INR)則是與生技醫療股的報酬率呈現負相關；而在主成份分析法(PCA)裡較具解釋能力的買賣權未平倉比(PCR)是與報酬率呈現正相關，但在偏最小二乘迴歸法(PLS)較無顯著的結果。 綜合兩法之比較所得到的結果，股價上漲家數除以股價下跌家數(ADVDEC)對於解釋生技醫療股的報酬率是最佳的投資人情緒代理變數，且利用PLS法來整合投資人情緒變數確實比利用PCA法更具有解釋能力。zh_TW
dc.description.abstract (摘要) The Taiwan stock market is a shallow market, considering that most investors tend to make irrational investment decisions. Therefore, the Taiwan stock market is highly suitable for behavioral finance research. This study uses investor sentiment proxy variables obtainable from the Taiwan market as the primary independent variables, and takes biotech and healthcare stocks as typical examples of lottery-like stocks. The study analyzes whether investor sentiment proxy variables affect the returns of biotech and healthcare stocks. Previous studies on investor sentiment topics mostly use Principal Component Analysis (PCA) for component selection, followed by related regression analysis. This study aims to compare the explanatory power between Partial Least Squares Regression (PLS) and PCA. The empirical results show that PLS indeed has better explanatory power than PCA. Among the investor sentiment proxy variables, the number of advancing stocks divided by the number of declining stocks (ADVDEC) has the most significant explanatory power and is positively correlated with the returns of biotech and healthcare stocks. The second best, the number of new accounts (INR), is negatively correlated with the returns of biotech and healthcare stocks. The Put-Call Ratio (PCR), which has better explanatory power in PCA, is positively correlated with returns, but does not show significant results in PLS. Combining the results of both methods, ADVDEC is identified as the best investor sentiment proxy variable for explaining the returns of biotech and healthcare stocks, and using PLS to integrate investor sentiment variables indeed has better explanatory power than using PCA.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究動機 1 第二節 研究目的 2 第三節 研究架構 2 第二章 文獻回顧 3 第一節 樂透型股票 3 第二節 投資人情緒 6 第三章 研究方法 9 第一節 主要實證變數 9 第二節 資料期間與來源 11 第三節 兩種整合情緒指標方法之比較 11 第四章 實證結果 14 第一節 投資人情緒代理變數之敘述分析 14 第二節 為何選定生技醫療股作為樂透股 15 第三節 兩種整合情緒指標方法之結果 16 第四節 樣本外測試 26 第五章 結論及未來研究建議 27 第一節 結論 27 第二節 未來研究建議 28 參考文獻 30zh_TW
dc.format.extent 1033534 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111351041en_US
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 樂透型股票zh_TW
dc.subject (關鍵詞) 主成份分析法zh_TW
dc.subject (關鍵詞) 偏最小二乘迴歸法zh_TW
dc.subject (關鍵詞) Investor Sentimenten_US
dc.subject (關鍵詞) Lottery-like Stocksen_US
dc.subject (關鍵詞) Principal Component Analysisen_US
dc.subject (關鍵詞) Partial Least Squares Regressionen_US
dc.title (題名) 投資人情緒對樂透型股票的報酬影響-以台灣市場為例zh_TW
dc.title (題名) The influence of Investor sentiment on returns in Lottery stocks-A Taiwanese market perspectiveen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Alldredge, D. M. (2020). Institutional trading, investor sentiment, and lottery-like stock preferences. The Financial Review, 55(4), 603-624. Baker, M., & Stein, J. C. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3), 271-299. Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129-152. Bali, T. G., Cakici, N., & Whitelaw, R. F. (2011). Maxing out: Stocks as lotteries and the cross-section of expected returns. Journal of Financial Economics, 99(2), 427-446. Barberis, N., & Huang, M. (2008). Stocks as lotteries: The implications of probability weighting for security prices. American Economic Review, 98(5), 2066-2100. Bergeron, M. Y., Savor, M., & Kryzanowski, L. (2004). Key issues of venture capital investing in foreign markets: The case of Canadian biotechnology companies. The Journal of Private Equity, 7(3), 47-54. Bis, G. (2007). Small cap premium: Does liquidity hold water? (Honors thesis, Leonard N. Stern School of Business, New York University). Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27. Bruneo, H., Giacomini, E., Iannotta, G., Murthy, A., & Patris, J. (2023). Risk and return in the biotech industry. Journal of Business Research. Chen, H., Kumar, A., & Zhang, C. (2021). The power of the pen: How analyst recommendations influence investor decisions. Journal of Financial Economics, 139(2), 447-473. Chen, X., Zhao, Y., Li, Y., & Lu, Z. (2020). A dynamic analysis of the relationship between investor sentiment and stock market realized volatility: Evidence from China. PLoS ONE, 15(12), e0243080. De Bondt, W. F. M., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793-805. Devenow, A., Welch, I., & Huang, M. (2008). Searching for gambles: Gambling sentiment and stock market outcomes. Journal of Finance, 63(4), 1971-2011. Emanuel, E. J., Persad, G., Kern, A., Buchanan, A., Fabre, C., Halliday, D., Heath, J., Herzog, L., Leland, R. J., Lemango, E. T., Luna, F., McCoy, M. S., Norheim, O. F., Ottersen, T., Tan, K. C., & Wolff, J. (2020). Options using a collective lottery to ration vaccines during an influenza pandemic. Lancet, 395(10233), 1525-1534. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), 383-417. Friedman, M., & Savage, L. J. (1948). The utility analysis of choices involving risk. Journal of Political Economy, 56(4), 279-304. Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015). Investor sentiment aligned: A powerful predictor of stock returns. The Review of Financial Studies, 28(3), 791-837. Jena, S. K., Tiwari, C., & Mitra, S. (2019). Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis. Journal of Risk and Financial Management, 12(4), 1-22. Jiao, Y. (2016). Investor preference and stock price underreaction: Evidence from post earnings announcement drift. Journal of Financial Markets, 33, 99-123. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263-291. Kliger, D., Rothman, T., & Mousavi, S. (2021). Pharmaceutical lottery stocks: Investors’ reaction to FDA announcements. SSRN. https://ssrn.com/abstract=3911774 Kumar, A. (2009). Who gambles in the stock market? The Journal of Finance, 64(4), 1889-1933. Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315-1335. Meng, Y., & Pantzalis, C. (2020). Lottery-type stocks and corporate strategies at the turn of the month. Review of Quantitative Finance and Accounting, 56(4), 1027-1055. Shleifer, A. (2000). Inefficient markets: An introduction to behavioral finance. Oxford University Press. Tamplin, T. (2023). Creating a small business financial plan. Finance Strategists. Retrieved June 13, 2024, from https://www.financestrategists.com/financial-advisor/financial-planning/creating-a-small-business-financial-plan/ Thaler, R. H., & Ziemba, W. T. (1988). Anomalies: Parimutuel betting markets: Racetracks and lotteries. Journal of Economic Perspectives, 2(2), 161-174. Wang, W., Su, C., & Duxberry, D. (2021). Investor sentiment and stock returns: Global evidence. Journal of Empirical Finance, 63, 365-391. Zhou, W. (2018). Measuring investor sentiment. Annual Review of Financial Economics, 10, 239-263. 周賓凰, 張宇志, & 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, 19(2), 153-190. 蔡佩容, 王元章, & 張卓眾. (2009). 投資人情緒、公司特徵與台灣股票報酬之研究. 經濟研究, 45(2), 273-322. 鄭高輯, & 林泉源. (2010). 投資人情緒對投機型股票報酬之影響. 商學略報, 2(1), 21-35.zh_TW