1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 投資人情緒對迷因股報酬率之影響
The Impact of Investor Sentiment on Returns of Meme Stocks
作者 陳昱臻
Chen, Yu-Jen
貢獻者 周冠男
Chou, Robin.K
陳昱臻
Chen, Yu-Jen
關鍵詞 迷因股
投資人情緒
累積異常報酬
Meme Stocks
Investor Sentiment
Cumulative Abnormal Returns
日期 2024
上傳時間 2-Dec-2024 11:27:21 (UTC+8)
摘要 本論文主要探討迷因股之報酬與投資人情緒的關係。我們使用以社群熱度和放空比率為依據編製之Solactive迷因指數作為迷因股報酬代理變數，及VIX和AAII投資人情緒調查結果作為兩種情緒代理變數，探討了投資人情緒對迷因股報酬率的影響。我們的三個假設：（1）投資人情緒與同期迷因股報酬率之間呈正向關係，並與下一期迷因股報酬率呈負向關係（2）與市場報酬相比，迷因股的報酬對投資人情緒的敏感度更高，以及（3）迷因股在其「迷因期間」存在正的異常報酬，但會隨時間逐漸消失。 通過普通最小平方法（OLS）迴歸和Granger因果關係檢驗，我們的研究結果顯示投資人情緒與同期迷因股報酬之間存在正向且顯著的關係。然而，迷因股對情緒的敏感度並沒有比S&P500指數更高。我們確認情緒不僅會影響未來迷因股的報酬，也會影響未來S&P500指數的報酬，且以情緒的變化作為代理變數時，迷因股更為敏感。此外，我們使用事件研究法的結果顯示，股票被納入「迷因指數」前後都會出現顯著的正累積異常報酬（CARs）。然而，隨著「迷因現象」的消退，這些報酬逐漸下降。
Our study examines the influence of investor sentiment on the returns of meme stocks. We use the Solactive MEME Index, which is based on social media buzz and short interest ratio, as a proxy variable for meme stock returns, and the VIX and AAII Investor Sentiment Survey results as two sentiment proxy variables. We specifically analyze three hypotheses: (1) a contemporaneous positive relationship between sentiment and meme stock returns and a negative relationship between sentiment and future returns, (2) the greater sensitivity of meme stocks to sentiment than broader market indices, and (3) the presence of abnormal returns for meme stocks during their "meme period," which dissipates afterward. Using Ordinary Least Squares (OLS) regression and the Granger-causality tests, the findings reveal a positive and significant contemporaneous relationship between investor sentiment and meme stock returns. However, meme stocks do not demonstrate greater sensitivity to sentiment compared to the S&P 500 Index. We confirm that sentiment can affect the future returns of meme stocks and the S&P 500 Index, with meme stocks being more responsive when changes in the level of sentiment are employed. Furthermore, an event study methodology shows significant positive cumulative abnormal returns (CARs) before and shortly after the inclusion of stocks into the MEME Index. However, these returns gradually decline as the meme phenomenon diminishes.
參考文獻 Aloosh, A., Choi, H., & Ouzan, S. (2021). Meme Stocks and Herd Behavior. Behavioral & Experimental Finance eJournal. Aloosh, A., Ouzan, S., & Shahzad, S. J. H. (2022). Bubbles across meme stocks and cryptocurrencies. Finance Research Letters, 49, 103155. Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680. Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129-151. Binder, J. (1998). The event study methodology since 1969. Review of Quantitative Finance and Accounting, 11, 111-137. Black, F. (1986), Noise. The Journal of Finance, 41, 528-543. Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27. Brown, G. W., & Cliff, M. T. (2005). Investor sentiment and asset valuation. The Journal of Business, 78(2), 405-440. Charoenrook, A. (2005). Does sentiment matter? Unpublished working paper. Vanderbilt University. Chung, J. (2022). Hedge fund Melvin lost $6.8 billion in a month: Winning it back is taking a lot longer. Wall Street Journal, 28. Da, Z., Engelberg, J., & Gao, P. (2015). The sum of all FEARS investor sentiment and asset prices. The Review of Financial Studies, 28(1), 1-32. De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738. Duz Tan, S., & Tas, O. (2021). Social media sentiment in international stock returns and trading activity. Journal of Behavioral Finance, 22(2), 221-234. Dyckman, T., Philbrick, D., & Stephan, J. (1984). A comparison of event study methodologies using daily stock returns: A simulation approach. Journal of Accounting Research, 22, 1-30. Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1), 55-84. Fisher, K. L., & Statman, M. (2000). Investor sentiment and stock returns. Financial Analysts Journal, 56(2), 16-23. Giot, P. (2005). Relationships between implied volatility indices and stock index returns. Journal of Portfolio Management, 31(3), 92-100. Guan, S. S. (2022). Meme Investors and Retail Risk. BCL Rev., 63, 2051. Habibah, U., Rajput, S., Sadhwani, R. (2017). Stock market return predictability: Google pessimistic sentiments versus fear gauge. Cogent Economics & Finance, 5(1), 1390897. Hasso, T., Müller, D., Pelster, M., & Warkulat, S. (2022). Who participated in the GameStop frenzy? Evidence from brokerage accounts. Finance Research Letters, 45, 102140. Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009-1032. Kräussl, R., & Mirgorodskaya, E. (2014). News media sentiment and investor behavior. CFS Working Paper Series, 492. Lee, C. M., Shleifer, A., & Thaler, R. H. (1991). Investor sentiment and the closed‐end fund puzzle. The Journal of Finance, 46(1), 75-109. Lemmon, M., & Portniaguina, E. (2006). Consumer confidence and asset prices: Some empirical evidence. The Review of Financial Studies, 19(4), 1499-1529. Li, S. (2022). Spillovers between Bitcoin and Meme stocks. Finance Research Letters, 50, 103218. Long, S., Lucey, B., Xie, Y., & Yarovaya, L. (2023). “I just like the stock”: The role of Reddit sentiment in the GameStop share rally. Financial Review, 58(1), 19-37. Malz, A.M. (2021). The GameStop Episode: What Happened and What Does It Mean?. Journal of Applied Corporate Finance, 33, 87-97 Michele Costola, Matteo Iacopini, Carlo R.M.A. Santagiustina (2021). On the “mementum” of meme stocks. Economics Letters, 207. Nani, A. (2022). The doge worth 88 billion dollars: A case study of Dogecoin. Convergence, 28(6), 1719-1736. Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394-408. Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. The Journal of Finance, 52(1), 35-55. Simon, D. P., & Wiggins III, R. A. (2001). S&P futures returns and contrary sentiment indicators. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(5), 447-462. Smales, L. A. (2016). Risk-on/Risk-off: Financial market response to investor fear. Finance Research Letters, 17, 125-134. Smales, L. A. (2017). The importance of fear: investor sentiment and stock market returns. Applied Economics, 49(34), 3395-3421. Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance, 62(3), 1139-1168. Tetlock, P. C., Saar‐Tsechansky, M., & Macskassy, S. (2008). More than words: Quantifying language to measure firms' fundamentals. The Journal of Finance, 63(3), 1437-1467. Umar, Z., Gubareva, M., Yousaf, I., & Ali, S. (2021). A tale of company fundamentals vs sentiment driven pricing: The case of GameStop. Journal of Behavioral and Experimental Finance, 30, 100501. Wang, Y. H., Keswani, A., & Taylor, S. J. (2006). The relationships between sentiment, returns and volatility. International Journal of Forecasting, 22(1), 109-123. Whaley, R. E. (2002). Return and Risk of CBOE Buy Write Monthly Index. Journal of Derivatives, 10(2), 35-42. Whaley, R. E. (2009). Understanding the VIX. Journal of Portfolio Management, 35(3), 98-105. Yousaf, I., Pham, L., & Goodell, J. W. (2023). The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach. Journal of International Financial Markets, Institutions and Money, 82, 101694.
描述 碩士
國立政治大學
財務管理學系
111357020
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357020
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.advisor Chou, Robin.Ken_US
dc.contributor.author (Authors) 陳昱臻zh_TW
dc.contributor.author (Authors) Chen, Yu-Jenen_US
dc.creator (作者) 陳昱臻zh_TW
dc.creator (作者) Chen, Yu-Jenen_US
dc.date (日期) 2024en_US
dc.date.accessioned 2-Dec-2024 11:27:21 (UTC+8)-
dc.date.available 2-Dec-2024 11:27:21 (UTC+8)-
dc.date.issued (上傳時間) 2-Dec-2024 11:27:21 (UTC+8)-
dc.identifier (Other Identifiers) G0111357020en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/154583-
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) 111357020zh_TW
dc.description.abstract (摘要) 本論文主要探討迷因股之報酬與投資人情緒的關係。我們使用以社群熱度和放空比率為依據編製之Solactive迷因指數作為迷因股報酬代理變數，及VIX和AAII投資人情緒調查結果作為兩種情緒代理變數，探討了投資人情緒對迷因股報酬率的影響。我們的三個假設：（1）投資人情緒與同期迷因股報酬率之間呈正向關係，並與下一期迷因股報酬率呈負向關係（2）與市場報酬相比，迷因股的報酬對投資人情緒的敏感度更高，以及（3）迷因股在其「迷因期間」存在正的異常報酬，但會隨時間逐漸消失。 通過普通最小平方法（OLS）迴歸和Granger因果關係檢驗，我們的研究結果顯示投資人情緒與同期迷因股報酬之間存在正向且顯著的關係。然而，迷因股對情緒的敏感度並沒有比S&P500指數更高。我們確認情緒不僅會影響未來迷因股的報酬，也會影響未來S&P500指數的報酬，且以情緒的變化作為代理變數時，迷因股更為敏感。此外，我們使用事件研究法的結果顯示，股票被納入「迷因指數」前後都會出現顯著的正累積異常報酬（CARs）。然而，隨著「迷因現象」的消退，這些報酬逐漸下降。zh_TW
dc.description.abstract (摘要) Our study examines the influence of investor sentiment on the returns of meme stocks. We use the Solactive MEME Index, which is based on social media buzz and short interest ratio, as a proxy variable for meme stock returns, and the VIX and AAII Investor Sentiment Survey results as two sentiment proxy variables. We specifically analyze three hypotheses: (1) a contemporaneous positive relationship between sentiment and meme stock returns and a negative relationship between sentiment and future returns, (2) the greater sensitivity of meme stocks to sentiment than broader market indices, and (3) the presence of abnormal returns for meme stocks during their "meme period," which dissipates afterward. Using Ordinary Least Squares (OLS) regression and the Granger-causality tests, the findings reveal a positive and significant contemporaneous relationship between investor sentiment and meme stock returns. However, meme stocks do not demonstrate greater sensitivity to sentiment compared to the S&P 500 Index. We confirm that sentiment can affect the future returns of meme stocks and the S&P 500 Index, with meme stocks being more responsive when changes in the level of sentiment are employed. Furthermore, an event study methodology shows significant positive cumulative abnormal returns (CARs) before and shortly after the inclusion of stocks into the MEME Index. However, these returns gradually decline as the meme phenomenon diminishes.en_US
dc.description.tableofcontents 1. Introduction 1 1.1 Motivation 1 1.2 Chapter Outlines 3 2. Literature Review 4 2.1 Investor Sentiment 4 2.2 Meme Assets 6 2.3 Hypothesis 8 3. Data and Methodology 10 3.1 Sample Selection 10 3.2 Dependent Variables 10 3.3 Independent Variables 11 3.4 Other Control Variables 12 3.5 Methodology 13 4. Empirical Results 15 4.1 Descriptive Statistics 15 4.2 Regressions of Contemporaneous Relationship 16 4.3 Predictive Regressions 19 4.4 Abnormal Returns of Meme Stocks 23 5. Conclusion 26 6. References 28 Appendix 31zh_TW
dc.format.extent 1667055 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357020en_US
dc.subject (關鍵詞) 迷因股zh_TW
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 累積異常報酬zh_TW
dc.subject (關鍵詞) Meme Stocksen_US
dc.subject (關鍵詞) Investor Sentimenten_US
dc.subject (關鍵詞) Cumulative Abnormal Returnsen_US
dc.title (題名) 投資人情緒對迷因股報酬率之影響zh_TW
dc.title (題名) The Impact of Investor Sentiment on Returns of Meme Stocksen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Aloosh, A., Choi, H., & Ouzan, S. (2021). Meme Stocks and Herd Behavior. Behavioral & Experimental Finance eJournal. Aloosh, A., Ouzan, S., & Shahzad, S. J. H. (2022). Bubbles across meme stocks and cryptocurrencies. Finance Research Letters, 49, 103155. Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680. Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129-151. Binder, J. (1998). The event study methodology since 1969. Review of Quantitative Finance and Accounting, 11, 111-137. Black, F. (1986), Noise. The Journal of Finance, 41, 528-543. Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27. Brown, G. W., & Cliff, M. T. (2005). Investor sentiment and asset valuation. The Journal of Business, 78(2), 405-440. Charoenrook, A. (2005). Does sentiment matter? Unpublished working paper. Vanderbilt University. Chung, J. (2022). Hedge fund Melvin lost $6.8 billion in a month: Winning it back is taking a lot longer. Wall Street Journal, 28. Da, Z., Engelberg, J., & Gao, P. (2015). The sum of all FEARS investor sentiment and asset prices. The Review of Financial Studies, 28(1), 1-32. De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738. Duz Tan, S., & Tas, O. (2021). Social media sentiment in international stock returns and trading activity. Journal of Behavioral Finance, 22(2), 221-234. Dyckman, T., Philbrick, D., & Stephan, J. (1984). A comparison of event study methodologies using daily stock returns: A simulation approach. Journal of Accounting Research, 22, 1-30. Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1), 55-84. Fisher, K. L., & Statman, M. (2000). Investor sentiment and stock returns. Financial Analysts Journal, 56(2), 16-23. Giot, P. (2005). Relationships between implied volatility indices and stock index returns. Journal of Portfolio Management, 31(3), 92-100. Guan, S. S. (2022). Meme Investors and Retail Risk. BCL Rev., 63, 2051. Habibah, U., Rajput, S., Sadhwani, R. (2017). Stock market return predictability: Google pessimistic sentiments versus fear gauge. Cogent Economics & Finance, 5(1), 1390897. Hasso, T., Müller, D., Pelster, M., & Warkulat, S. (2022). Who participated in the GameStop frenzy? Evidence from brokerage accounts. Finance Research Letters, 45, 102140. Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The Journal of Finance, 58(3), 1009-1032. Kräussl, R., & Mirgorodskaya, E. (2014). News media sentiment and investor behavior. CFS Working Paper Series, 492. Lee, C. M., Shleifer, A., & Thaler, R. H. (1991). Investor sentiment and the closed‐end fund puzzle. The Journal of Finance, 46(1), 75-109. Lemmon, M., & Portniaguina, E. (2006). Consumer confidence and asset prices: Some empirical evidence. The Review of Financial Studies, 19(4), 1499-1529. Li, S. (2022). Spillovers between Bitcoin and Meme stocks. Finance Research Letters, 50, 103218. Long, S., Lucey, B., Xie, Y., & Yarovaya, L. (2023). “I just like the stock”: The role of Reddit sentiment in the GameStop share rally. Financial Review, 58(1), 19-37. Malz, A.M. (2021). The GameStop Episode: What Happened and What Does It Mean?. Journal of Applied Corporate Finance, 33, 87-97 Michele Costola, Matteo Iacopini, Carlo R.M.A. Santagiustina (2021). On the “mementum” of meme stocks. Economics Letters, 207. Nani, A. (2022). The doge worth 88 billion dollars: A case study of Dogecoin. Convergence, 28(6), 1719-1736. Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394-408. Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. The Journal of Finance, 52(1), 35-55. Simon, D. P., & Wiggins III, R. A. (2001). S&P futures returns and contrary sentiment indicators. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 21(5), 447-462. Smales, L. A. (2016). Risk-on/Risk-off: Financial market response to investor fear. Finance Research Letters, 17, 125-134. Smales, L. A. (2017). The importance of fear: investor sentiment and stock market returns. Applied Economics, 49(34), 3395-3421. Tetlock, P. C. (2007). Giving content to investor sentiment: The role of media in the stock market. The Journal of Finance, 62(3), 1139-1168. Tetlock, P. C., Saar‐Tsechansky, M., & Macskassy, S. (2008). More than words: Quantifying language to measure firms' fundamentals. The Journal of Finance, 63(3), 1437-1467. Umar, Z., Gubareva, M., Yousaf, I., & Ali, S. (2021). A tale of company fundamentals vs sentiment driven pricing: The case of GameStop. Journal of Behavioral and Experimental Finance, 30, 100501. Wang, Y. H., Keswani, A., & Taylor, S. J. (2006). The relationships between sentiment, returns and volatility. International Journal of Forecasting, 22(1), 109-123. Whaley, R. E. (2002). Return and Risk of CBOE Buy Write Monthly Index. Journal of Derivatives, 10(2), 35-42. Whaley, R. E. (2009). Understanding the VIX. Journal of Portfolio Management, 35(3), 98-105. Yousaf, I., Pham, L., & Goodell, J. W. (2023). The connectedness between meme tokens, meme stocks, and other asset classes: Evidence from a quantile connectedness approach. Journal of International Financial Markets, Institutions and Money, 82, 101694.zh_TW