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題名 個別投資者情緒對台指期報酬率的影響
The Impact of Individual Investor Sentiment on TX Futures Returns
作者 余柏辰
Yu, Bo-Chen
貢獻者 周冠男
Chou, Robin K.
余柏辰
Yu, Bo-Chen
關鍵詞 個人投資者情緒
外國投資者情緒
期貨市場
正、逆價差
Individual investor sentiment
Foreign investor sentiment
Futures market
Contango and Backwardation
日期 2024
上傳時間 4-Feb-2025 16:03:12 (UTC+8)
摘要 本研究強調在理解市場動態時考慮個別投資人行為的重要性，特別像是在台灣這樣擁有高比例個別投資者的市場。研究結果顯示，個別投資者在特定市場條件下的過度自信和悲觀態度可以顯著解釋當期的期貨報酬，此挑戰傳統模型對於理性行為的假設。結果顯示，即使在控制其他因素的情況下，個別投資者情緒對當期台灣指數期貨報酬有著顯著且負面的影響。更值得注意的是，台灣指數期貨呈現正價差時，個別投資者則表現出更明顯的悲觀情緒，他們認為未來價格會下跌的理由僅僅是因為當期的漲幅為正，這與期貨在正價差時，投資人通常對後勢有著樂觀看法的情形不一致。
This research underscores the importance of considering behavioral factors and sentiment indices in understanding market dynamics, particularly in markets with a high proportion of individual investors like Taiwan. The findings suggest that individual investors' overconfidence and pessimistic outlook during certain market conditions can significantly explain futures returns, challenging traditional models' assumptions of rational behavior. Key findings reveal that individual investor sentiment in the futures market significantly negatively impacts same-day TX futures returns, even when controlling for other factors. Notably, during contango periods, individual investors show pronounced pessimism, expecting declining future prices despite current positive returns.
參考文獻 1. Abraham, A., & Ikenberry, D. L., 1994, The individual investor and the weekend effect. Journal of Financial and Quantitative Analysis, 29(2), 263-277. 2. Assia, E., 2014, The impact of individual and market sentiment on IPO pricing. Asian Journal of Finance & Accounting, 6(2), 278-297. 3. Baker, M., & Stein, J. C., 2002, Market liquidity as a sentiment indicator. Working Paper, Harvard Business School, Harvard Economics Department and National Bureau of Economic Research (NBER). 4. Baker, M., & Wurgler, J., 2006, Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61(4), 1645-1680. 5. Barber, B. M., Lee, Y., Liu, Y. J., & Odean, T., 2007, Is the aggregate investor reluctant to realise losses? Evidence from Taiwan, European Financial Management, 13, 423-447. 6. Barber, B. M., Odean, T., & Zhu, N., 2009, Do retail trades move markets? Review of Financial Studies, 22, 151-186. 7. Bu, H., & Pi, L., 2014, Does investor sentiment predict stock returns? The evidence from the Chinese stock market. Journal of Systems Science and Complexity, 27(1), 130-143. 8. Carchano, Ó., & Pardo, Á., 2009, Rolling over stock index futures contracts. Journal of Futures Markets, 29(7), 684-694. 9. Chen, Lin-Hui, 2001, An empirical study on the co-movements between stock price change and institutional investors’ buy-sell difference in Taiwan, Transworld Institute of Technology, 1, 45-54. 10. Chen, N. F., Kan, R., & Miller, M. H., 1993, Are the discounts on closed-end funds a sentiment index? The Journal of Finance, 48(2), 795-800. 11. Christ, K. P., & Bremmer, D. S., 2001, The relationship between consumer sentiment and stock prices. New York Times. 12. Fama, E. F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance 25, 383-417. 13. Fama, E. F. & French, K. R., 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465. 14. Froot, Kenneth A., Paul G. J. O’Connell, and Mark S. Seasholes, 2001, The portfolio flows of international investors, Journal of Financial Economics 59, 151-193. 15. Glaser, M. & Weber, M., 2007, Overconfidence and Trading Volume, The Geneva Risk and Insurance Review 32, 1-36. 16. Hsiao, J. L., Lin, A. C., Wang, C., & Ho, S. J. (2019). The Impact of Foreign Investor Sentiment on Taiwan's Stock and Futures Markets. Journal of Financial Studies, 27(1), 105-158. 17. Hsu, Y., 2002, The Disposition Effect and Underreaction to News, Journal of Finance 57, 1745-1778. 18. Huang, D., Jiang, F., Tu, J., & Zhou, G., 2014, Investor Sentiment Aligned: A Powerful Predictor of Stock Returns. Review of Financial Studies, 28(3), 791-837. 19. Jia, J., & Kang, S. B., 2022, Do the basis and other predictors of futures return also predict spot return with the same signs and magnitudes? Evidence from the LME. Journal of Commodity Markets, 25, 100-187. 20. Kahneman, D. & Tversky, A., 1979, Prospect Theory: An Analysis of Decision under Risk, Econometrica 47, 263-292. 21. Koestner, M., Loos, B., Meyer, S., & Hackethal, A., 2017, Do individual investors learn from their mistakes? Journal of Business Economics, 87, 669-703. 22. Kumar, Alok, and Charles Lee, 2006, Retail investor sentiment and return co movements, Journal of Finance 61, 2451-2486. 23. Kuo, Wei-Yu & Lin, Tse-Chun, 2013, Overconfident individual day traders: Evidence from the Taiwan futures market, Journal of Banking & Finance, 37(9), 3548-3561. 24. Lee, C. M. C., Shleifer, A., & Thaler, R. H., 1991, Investor sentiment and the closed-end fund puzzle. The Journal of Finance, 46(1), 75-109. 25. Li, H. C., Lin, C. H., Cheng, T. Y., & Lai, S., 2012, How Different Types of Traders Behave in the Taiwan Futures Market. Journal of Futures Markets, 33(12), 1097-1117. 26. Lichtenstein, S., Fischhoff, B., & Phillips, L. D., 1982, Calibration of Probabilities: The State of the Art to 1980, Judgment Under Uncertainty: Heuristics and Biases, 306-334. 27. Liu, Y.-H., Dai, S.-R., Chang, F.-M., Lin, Y.-B., & Lee, N. R., 2020, Does the investor sentiment affect the stock returns in Taiwanese stock market under different market states? Journal of Applied Finance & Banking, 10(5), 1-3. 28. Markowitz, H., 1952, Portfolio Selection, Journal of Finance 7, 77-91. 29. Neal, R., & Wheatley, S. M., 1998, Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis, 33(4), 523-547. 30. Odean, T., 1998, Are Investors Reluctant to Realize Their Losses? Journal of Finance 53, 1775-1798. 31. Odean, Terrance, 1999, Do Investors Trade Too Much? Journal of Finance 54, 1797-1820. 32. Panagiotou, D., & Tseriki, A., 2022, Directional predictability between trading volume and price returns in the agricultural futures markets: risk implications for traders. The Journal of Risk Finance, 23(4), 411-427. 33. Sayim, M., Morris, P. D., & Rahman, H., 2013, The effect of US individual investor sentiment on industry‐specific stock returns and volatility. Review of Behavioural Finance, 5(1), 58–76. 34. Schmeling, Maik, 2007, Institutional and individual sentiment: Smart money and noise trader risk?, International Journal of Forecasting, 23(1), 127-145. 35. Shefrin, H. & Statman, M., 1985, The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, Journal of Finance 40, 777-790. 36. Shu, P. G., Yeh, Y. H., Chiu, S. B., & Chen, H. C., 2005, Are Taiwanese Individual Investors Reluctant to Realize Their Losses? Pacific-Basin Finance Journal 13, 201-223. 37. Smales, L. A., 2017, The importance of fear: investor sentiment and stock market returns. Applied Economics, 49(34), 3395–3421. 38. Statman, M., Thorley, S., & Vorkink, K., 2006, Investor Overconfidence and Trading Volume, Review of Financial Studies 19, 1531-1565. 39. Wahab, M. A. A., Mohamad, A., & Sifat, I., 2019, On Contango, Backwardation, and Seasonality in Index Futures. The Journal of Private Equity, 22(2), 69–82. 40. Wong, S. Q., & Lievano, R. J., 2009, Investor sentiment as intervention of stock market returns. Academy of Accounting and Financial Studies Journal, 13(4), 55-66. 41. 周賓凰, 張宇志, & 林美珍. (2019). 投資人情緒與股票報酬互動關係. 證券市場發展季刊: 行為財務學特別專刊, 153. 42. 林家妃（2011）。投資人情緒之傳遞效果-以臺灣股票市場及期貨市場為例。﹝博士論文。國立雲林科技大學﹞臺灣博碩士論文知識加值系統。 43. 林晏竹（2006）。台灣散戶投資人情緒對股票報酬的影響。﹝碩士論文。國立政治大學﹞臺灣博碩士論文知識加值系統。 44. 阮福林(2006)「發放現金股利對台指期貨之影響」，貨幣觀測與信用評等第 60 期。
描述 碩士
國立政治大學
財務管理學系
111357033
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357033
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) 余柏辰zh_TW
dc.contributor.author (Authors) Yu, Bo-Chenen_US
dc.creator (作者) 余柏辰zh_TW
dc.creator (作者) Yu, Bo-Chenen_US
dc.date (日期) 2024en_US
dc.date.accessioned 4-Feb-2025 16:03:12 (UTC+8)-
dc.date.available 4-Feb-2025 16:03:12 (UTC+8)-
dc.date.issued (上傳時間) 4-Feb-2025 16:03:12 (UTC+8)-
dc.identifier (Other Identifiers) G0111357033en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/155500-
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) 111357033zh_TW
dc.description.abstract (摘要) 本研究強調在理解市場動態時考慮個別投資人行為的重要性，特別像是在台灣這樣擁有高比例個別投資者的市場。研究結果顯示，個別投資者在特定市場條件下的過度自信和悲觀態度可以顯著解釋當期的期貨報酬，此挑戰傳統模型對於理性行為的假設。結果顯示，即使在控制其他因素的情況下，個別投資者情緒對當期台灣指數期貨報酬有著顯著且負面的影響。更值得注意的是，台灣指數期貨呈現正價差時，個別投資者則表現出更明顯的悲觀情緒，他們認為未來價格會下跌的理由僅僅是因為當期的漲幅為正，這與期貨在正價差時，投資人通常對後勢有著樂觀看法的情形不一致。zh_TW
dc.description.abstract (摘要) This research underscores the importance of considering behavioral factors and sentiment indices in understanding market dynamics, particularly in markets with a high proportion of individual investors like Taiwan. The findings suggest that individual investors' overconfidence and pessimistic outlook during certain market conditions can significantly explain futures returns, challenging traditional models' assumptions of rational behavior. Key findings reveal that individual investor sentiment in the futures market significantly negatively impacts same-day TX futures returns, even when controlling for other factors. Notably, during contango periods, individual investors show pronounced pessimism, expecting declining future prices despite current positive returns.en_US
dc.description.tableofcontents 1. Introduction 7 2. Lecture Review 13 2.1. Investor Sentiment 13 2.2. Direct Investor Sentiment 13 2.3. Indirect Investor Sentiment 14 2.4. Investor Sentiment in Taiwanese Market 16 3. Materials and methods 17 3.1. Sample Data 17 3.2. TX Daily Return 18 3.3. Contango and Backwardation 18 3.4. Investor Sentiment Index 20 3.5. Methods 26 4. Empirical Results 29 4.1. Regression on TX return 29 4.2. Contango and Backwardation 30 4.3. Regression on Next-Day TX return 32 4.4. Granger Causality Test 34 4.5. Robustness Test 37 5. Conclusion 39 6. References 40zh_TW
dc.format.extent 1452685 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357033en_US
dc.subject (關鍵詞) 個人投資者情緒zh_TW
dc.subject (關鍵詞) 外國投資者情緒zh_TW
dc.subject (關鍵詞) 期貨市場zh_TW
dc.subject (關鍵詞) 正、逆價差zh_TW
dc.subject (關鍵詞) Individual investor sentimenten_US
dc.subject (關鍵詞) Foreign investor sentimenten_US
dc.subject (關鍵詞) Futures marketen_US
dc.subject (關鍵詞) Contango and Backwardationen_US
dc.title (題名) 個別投資者情緒對台指期報酬率的影響zh_TW
dc.title (題名) The Impact of Individual Investor Sentiment on TX Futures Returnsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Abraham, A., & Ikenberry, D. L., 1994, The individual investor and the weekend effect. Journal of Financial and Quantitative Analysis, 29(2), 263-277. 2. Assia, E., 2014, The impact of individual and market sentiment on IPO pricing. Asian Journal of Finance & Accounting, 6(2), 278-297. 3. Baker, M., & Stein, J. C., 2002, Market liquidity as a sentiment indicator. Working Paper, Harvard Business School, Harvard Economics Department and National Bureau of Economic Research (NBER). 4. Baker, M., & Wurgler, J., 2006, Investor sentiment and the cross-section of stock returns. The Journal of Finance, 61(4), 1645-1680. 5. Barber, B. M., Lee, Y., Liu, Y. J., & Odean, T., 2007, Is the aggregate investor reluctant to realise losses? Evidence from Taiwan, European Financial Management, 13, 423-447. 6. Barber, B. M., Odean, T., & Zhu, N., 2009, Do retail trades move markets? Review of Financial Studies, 22, 151-186. 7. Bu, H., & Pi, L., 2014, Does investor sentiment predict stock returns? The evidence from the Chinese stock market. Journal of Systems Science and Complexity, 27(1), 130-143. 8. Carchano, Ó., & Pardo, Á., 2009, Rolling over stock index futures contracts. Journal of Futures Markets, 29(7), 684-694. 9. Chen, Lin-Hui, 2001, An empirical study on the co-movements between stock price change and institutional investors’ buy-sell difference in Taiwan, Transworld Institute of Technology, 1, 45-54. 10. Chen, N. F., Kan, R., & Miller, M. H., 1993, Are the discounts on closed-end funds a sentiment index? The Journal of Finance, 48(2), 795-800. 11. Christ, K. P., & Bremmer, D. S., 2001, The relationship between consumer sentiment and stock prices. New York Times. 12. Fama, E. F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance 25, 383-417. 13. Fama, E. F. & French, K. R., 1992, The Cross-Section of Expected Stock Returns, Journal of Finance 47, 427-465. 14. Froot, Kenneth A., Paul G. J. O’Connell, and Mark S. Seasholes, 2001, The portfolio flows of international investors, Journal of Financial Economics 59, 151-193. 15. Glaser, M. & Weber, M., 2007, Overconfidence and Trading Volume, The Geneva Risk and Insurance Review 32, 1-36. 16. Hsiao, J. L., Lin, A. C., Wang, C., & Ho, S. J. (2019). The Impact of Foreign Investor Sentiment on Taiwan's Stock and Futures Markets. Journal of Financial Studies, 27(1), 105-158. 17. Hsu, Y., 2002, The Disposition Effect and Underreaction to News, Journal of Finance 57, 1745-1778. 18. Huang, D., Jiang, F., Tu, J., & Zhou, G., 2014, Investor Sentiment Aligned: A Powerful Predictor of Stock Returns. Review of Financial Studies, 28(3), 791-837. 19. Jia, J., & Kang, S. B., 2022, Do the basis and other predictors of futures return also predict spot return with the same signs and magnitudes? Evidence from the LME. Journal of Commodity Markets, 25, 100-187. 20. Kahneman, D. & Tversky, A., 1979, Prospect Theory: An Analysis of Decision under Risk, Econometrica 47, 263-292. 21. Koestner, M., Loos, B., Meyer, S., & Hackethal, A., 2017, Do individual investors learn from their mistakes? Journal of Business Economics, 87, 669-703. 22. Kumar, Alok, and Charles Lee, 2006, Retail investor sentiment and return co movements, Journal of Finance 61, 2451-2486. 23. Kuo, Wei-Yu & Lin, Tse-Chun, 2013, Overconfident individual day traders: Evidence from the Taiwan futures market, Journal of Banking & Finance, 37(9), 3548-3561. 24. Lee, C. M. C., Shleifer, A., & Thaler, R. H., 1991, Investor sentiment and the closed-end fund puzzle. The Journal of Finance, 46(1), 75-109. 25. Li, H. C., Lin, C. H., Cheng, T. Y., & Lai, S., 2012, How Different Types of Traders Behave in the Taiwan Futures Market. Journal of Futures Markets, 33(12), 1097-1117. 26. Lichtenstein, S., Fischhoff, B., & Phillips, L. D., 1982, Calibration of Probabilities: The State of the Art to 1980, Judgment Under Uncertainty: Heuristics and Biases, 306-334. 27. Liu, Y.-H., Dai, S.-R., Chang, F.-M., Lin, Y.-B., & Lee, N. R., 2020, Does the investor sentiment affect the stock returns in Taiwanese stock market under different market states? Journal of Applied Finance & Banking, 10(5), 1-3. 28. Markowitz, H., 1952, Portfolio Selection, Journal of Finance 7, 77-91. 29. Neal, R., & Wheatley, S. M., 1998, Do measures of investor sentiment predict returns? Journal of Financial and Quantitative Analysis, 33(4), 523-547. 30. Odean, T., 1998, Are Investors Reluctant to Realize Their Losses? Journal of Finance 53, 1775-1798. 31. Odean, Terrance, 1999, Do Investors Trade Too Much? Journal of Finance 54, 1797-1820. 32. Panagiotou, D., & Tseriki, A., 2022, Directional predictability between trading volume and price returns in the agricultural futures markets: risk implications for traders. The Journal of Risk Finance, 23(4), 411-427. 33. Sayim, M., Morris, P. D., & Rahman, H., 2013, The effect of US individual investor sentiment on industry‐specific stock returns and volatility. Review of Behavioural Finance, 5(1), 58–76. 34. Schmeling, Maik, 2007, Institutional and individual sentiment: Smart money and noise trader risk?, International Journal of Forecasting, 23(1), 127-145. 35. Shefrin, H. & Statman, M., 1985, The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence, Journal of Finance 40, 777-790. 36. Shu, P. G., Yeh, Y. H., Chiu, S. B., & Chen, H. C., 2005, Are Taiwanese Individual Investors Reluctant to Realize Their Losses? Pacific-Basin Finance Journal 13, 201-223. 37. Smales, L. A., 2017, The importance of fear: investor sentiment and stock market returns. Applied Economics, 49(34), 3395–3421. 38. Statman, M., Thorley, S., & Vorkink, K., 2006, Investor Overconfidence and Trading Volume, Review of Financial Studies 19, 1531-1565. 39. Wahab, M. A. A., Mohamad, A., & Sifat, I., 2019, On Contango, Backwardation, and Seasonality in Index Futures. The Journal of Private Equity, 22(2), 69–82. 40. Wong, S. Q., & Lievano, R. J., 2009, Investor sentiment as intervention of stock market returns. Academy of Accounting and Financial Studies Journal, 13(4), 55-66. 41. 周賓凰, 張宇志, & 林美珍. (2019). 投資人情緒與股票報酬互動關係. 證券市場發展季刊: 行為財務學特別專刊, 153. 42. 林家妃（2011）。投資人情緒之傳遞效果-以臺灣股票市場及期貨市場為例。﹝博士論文。國立雲林科技大學﹞臺灣博碩士論文知識加值系統。 43. 林晏竹（2006）。台灣散戶投資人情緒對股票報酬的影響。﹝碩士論文。國立政治大學﹞臺灣博碩士論文知識加值系統。 44. 阮福林(2006)「發放現金股利對台指期貨之影響」，貨幣觀測與信用評等第 60 期。zh_TW