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題名 投資人情緒與市場報酬-變異數之關聯: 以台灣股票市場為例
Investor Sentiment and Mean-Variance Relation: Evidence from Taiwan Stock Market
作者 吳茹蘋
貢獻者 周冠男
吳茹蘋
關鍵詞 投資人情緒
市場報酬
Investor sentiment
Market return
日期 2014
上傳時間 2-Mar-2015 10:08:53 (UTC+8)
摘要 投資人情緒與市場報酬-變異數之關聯: 以台灣股票市場為例
This paper constructs investor sentiment index for Taiwan stock market and examines the effects of investor sentiment on the mean-variance relation of Taiwan stock market. Behind the well-known ambiguous relation between the mean and variance, we find that the stock market’s expected excess return is positively related to the market’s conditional variance in the low sentiment periods, but unrelated to variance during the high sentiment periods.
參考文獻 Baker, M., & Stein, J. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(271-299).
Baker, M., & Wurgler, J. (2004). A catering theory of dividends. The Journal of Finance, 59, 1125-1165.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61, 1645-1680.
Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of Financial Economics, 104, 272-287.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31, 307-328.
Bollerslev, T., Chou, R.Y., & Kroner, K.F. (1992). ARCH modeling in finance : A review of the theory and empirical evidence. Journal of Econometrics, 52, 5-59.
Brandt, M.W., & Kang, Q. (2004). On the relationship between the conditional mean and volatility of stock returns: a latent VAR approach. Journal of Financial Economics, 72, 217-257.
Brown, G.W., & Cliff, M.T. (2004). Investor sentiment and the near-term stock market. .Journal of Empirical Finance, 11, 1-27.
Campbell, J.Y. (1987). Stock returns and term structure. Journal of Financial Economics, 18, 373-399.
Campbell, J.Y., & Hentschel, L. (1992). No news is good news: an asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31, 281-318.
Cheunga, Y.L., Wong, K.A., & Ho, Y.K. (1993). The pricing of risky assets in two emerging Asian markets—Korea and Taiwan. Applied Financial Economics, 3, 315-324.
De Bondt, W.F.M. . (1993). Betting on trends: Intuitive forecasts of financial risk and return. International Journal of Forecasting, 9, 355-371.
De Long, B.J., Shleifer, A., Summers, L.H., & Waldmann, R. (1990a). Noise trader risk in financial markets. Journal of Political Economy, 98, 703-738.
Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.
Fama, E.F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, 383-417.
French, K.R., Schwert, W., & Stambaugh, R.F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 3-29.
Ghysel, E., Santa-Clara, P., & Valkanov, R. (2005). There is a risk-return tradeoff after all. Journal of Financial Economics, 76, 509-548.
Glosten, L.R., Jagannathan, R., & Runkle, D.E. (1993). On the relation between the expected value and the volatility of nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
Harvey, C.R. (2001). The specification of conditional expectations. Journal of Empirical Finance, 8, 573-638.
Huang, Y.S. (1997). An empirical test of the risk-return relationship on the Taiwan Stock Exchange. Applied Financial Economics, 7, 229-239.
Lee, C., Shleifer, A., & Thaler, R. (1991). Investor Sentiment and the Closed-End Fund Puzzle. Journal of Finance, 46, 75-109.
Lee, W.Y., Jiang, C.X., & Indro, D.C. (2002). Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking and Finance, 26, 2277-2299.
Lemmon, M., & Portniaguina, E. (2006). Consumer confidence and asset prices: some empirical evidence. Review of Financial Studies, 19, 1499-1529.
Mei, J., Scheinkman, J., & Xiong, W. (2009). Speculative trading and stock prices: evidence from Chinese A-B sharepremia. Annals of Economics and Finance, 10, 225-255.
Merton, R.C. (1973). An intertemporal capital asset pricing model. Econometrica, 8, 323-361.
Neal, & Wheatley. (1998). Do Measure of Investor Sentiment Predict Returns? Journal of Financial and Quantitative Analysis, 33, 523-547.
Nelson, D.B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59, 347-370.
Ritter, J. (1991). The long-run performance of initial public offerings. Journal of Finance, 46, 3-27.
Smith, V., Suchanek, G., & Williams, A. (1988). Bubbles, crashes, and endogenous expectations in experimental spot asset markets. Econometrica, 56, 1119-1153.
Stigler, G.J. (1964). Public regulation of the securities markets. Journal of Business, 37, 117-142.
Whitelaw, R.F. (1994). Time variation and covariances in the expectation and volatility of stock market returns. Journal of Finance, 49, 515-541.
Yang, J.W. (2000). The Leverage Effect and Herding Behavior in Taiwan`s Stock Market. Journal of Risk Management,, 2, 69-86.
Yu, J., & Yuan, Y. (2011). Investor sentiment and the mean-variance relation. Journal of Financial Economics, 100, 367-381.
描述 碩士
國立政治大學
財務管理研究所
101357028
103
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101357028
資料類型 thesis
dc.contributor.advisor 周冠男zh_TW
dc.contributor.author (Authors) 吳茹蘋zh_TW
dc.creator (作者) 吳茹蘋zh_TW
dc.date (日期) 2014en_US
dc.date.accessioned 2-Mar-2015 10:08:53 (UTC+8)-
dc.date.available 2-Mar-2015 10:08:53 (UTC+8)-
dc.date.issued (上傳時間) 2-Mar-2015 10:08:53 (UTC+8)-
dc.identifier (Other Identifiers) G0101357028en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/73539-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 101357028zh_TW
dc.description (描述) 103zh_TW
dc.description.abstract (摘要) 投資人情緒與市場報酬-變異數之關聯: 以台灣股票市場為例zh_TW
dc.description.abstract (摘要) This paper constructs investor sentiment index for Taiwan stock market and examines the effects of investor sentiment on the mean-variance relation of Taiwan stock market. Behind the well-known ambiguous relation between the mean and variance, we find that the stock market’s expected excess return is positively related to the market’s conditional variance in the low sentiment periods, but unrelated to variance during the high sentiment periods.en_US
dc.description.tableofcontents List of Tables i
I. Introduction 1
II. Literature Review and Hypothesis 3
2.1 Investor Sentiment 3
2.2 Mean-Variance Relation 8
2.3 Hypothesis 8
III. Investor Sentiment Index 10
3.1 Basic Approach 10
3.2 Sentiment Proxies 10
3.3 Investor Sentiment Index 15
IV. Methodology 16
4.1 Rolling Window Model 16
4.2 GARCH and Asymmetric GARCH Model 17
V. Main Empirical Results 19
5.1 Data and Summary Statistics 19
5.2 Mean-Variance Relation 21
VI. Conclusion 26
VII. Reference 28		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101357028en_US
dc.subject (關鍵詞) 投資人情緒zh_TW
dc.subject (關鍵詞) 市場報酬zh_TW
dc.subject (關鍵詞) Investor sentimenten_US
dc.subject (關鍵詞) Market returnen_US
dc.title (題名) 投資人情緒與市場報酬-變異數之關聯: 以台灣股票市場為例zh_TW
dc.title (題名) Investor Sentiment and Mean-Variance Relation: Evidence from Taiwan Stock Marketen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Baker, M., & Stein, J. (2004). Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(271-299).
Baker, M., & Wurgler, J. (2004). A catering theory of dividends. The Journal of Finance, 59, 1125-1165.
Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross-section of stock returns. Journal of Finance, 61, 1645-1680.
Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of Financial Economics, 104, 272-287.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31, 307-328.
Bollerslev, T., Chou, R.Y., & Kroner, K.F. (1992). ARCH modeling in finance : A review of the theory and empirical evidence. Journal of Econometrics, 52, 5-59.
Brandt, M.W., & Kang, Q. (2004). On the relationship between the conditional mean and volatility of stock returns: a latent VAR approach. Journal of Financial Economics, 72, 217-257.
Brown, G.W., & Cliff, M.T. (2004). Investor sentiment and the near-term stock market. .Journal of Empirical Finance, 11, 1-27.
Campbell, J.Y. (1987). Stock returns and term structure. Journal of Financial Economics, 18, 373-399.
Campbell, J.Y., & Hentschel, L. (1992). No news is good news: an asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31, 281-318.
Cheunga, Y.L., Wong, K.A., & Ho, Y.K. (1993). The pricing of risky assets in two emerging Asian markets—Korea and Taiwan. Applied Financial Economics, 3, 315-324.
De Bondt, W.F.M. . (1993). Betting on trends: Intuitive forecasts of financial risk and return. International Journal of Forecasting, 9, 355-371.
De Long, B.J., Shleifer, A., Summers, L.H., & Waldmann, R. (1990a). Noise trader risk in financial markets. Journal of Political Economy, 98, 703-738.
Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987-1007.
Fama, E.F. (1970). Efficient capital markets: a review of theory and empirical work. Journal of Finance, 25, 383-417.
French, K.R., Schwert, W., & Stambaugh, R.F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 3-29.
Ghysel, E., Santa-Clara, P., & Valkanov, R. (2005). There is a risk-return tradeoff after all. Journal of Financial Economics, 76, 509-548.
Glosten, L.R., Jagannathan, R., & Runkle, D.E. (1993). On the relation between the expected value and the volatility of nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
Harvey, C.R. (2001). The specification of conditional expectations. Journal of Empirical Finance, 8, 573-638.
Huang, Y.S. (1997). An empirical test of the risk-return relationship on the Taiwan Stock Exchange. Applied Financial Economics, 7, 229-239.
Lee, C., Shleifer, A., & Thaler, R. (1991). Investor Sentiment and the Closed-End Fund Puzzle. Journal of Finance, 46, 75-109.
Lee, W.Y., Jiang, C.X., & Indro, D.C. (2002). Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking and Finance, 26, 2277-2299.
Lemmon, M., & Portniaguina, E. (2006). Consumer confidence and asset prices: some empirical evidence. Review of Financial Studies, 19, 1499-1529.
Mei, J., Scheinkman, J., & Xiong, W. (2009). Speculative trading and stock prices: evidence from Chinese A-B sharepremia. Annals of Economics and Finance, 10, 225-255.
Merton, R.C. (1973). An intertemporal capital asset pricing model. Econometrica, 8, 323-361.
Neal, & Wheatley. (1998). Do Measure of Investor Sentiment Predict Returns? Journal of Financial and Quantitative Analysis, 33, 523-547.
Nelson, D.B. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59, 347-370.
Ritter, J. (1991). The long-run performance of initial public offerings. Journal of Finance, 46, 3-27.
Smith, V., Suchanek, G., & Williams, A. (1988). Bubbles, crashes, and endogenous expectations in experimental spot asset markets. Econometrica, 56, 1119-1153.
Stigler, G.J. (1964). Public regulation of the securities markets. Journal of Business, 37, 117-142.
Whitelaw, R.F. (1994). Time variation and covariances in the expectation and volatility of stock market returns. Journal of Finance, 49, 515-541.
Yang, J.W. (2000). The Leverage Effect and Herding Behavior in Taiwan`s Stock Market. Journal of Risk Management,, 2, 69-86.
Yu, J., & Yuan, Y. (2011). Investor sentiment and the mean-variance relation. Journal of Financial Economics, 100, 367-381.		zh_TW