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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 2-三月-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 (作者) 吳茹蘋 zh_TW dc.creator (作者) 吳茹蘋 zh_TW dc.date (日期) 2014 en_US dc.date.accessioned 2-三月-2015 10:08:53 (UTC+8) - dc.date.available 2-三月-2015 10:08:53 (UTC+8) - dc.date.issued (上傳時間) 2-三月-2015 10:08:53 (UTC+8) - dc.identifier (其他 識別碼) G0101357028 en_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) 101357028 zh_TW dc.description (描述) 103 zh_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 iI. Introduction 1II. Literature Review and Hypothesis 32.1 Investor Sentiment 32.2 Mean-Variance Relation 82.3 Hypothesis 8III. Investor Sentiment Index 103.1 Basic Approach 103.2 Sentiment Proxies 103.3 Investor Sentiment Index 15IV. Methodology 164.1 Rolling Window Model 164.2 GARCH and Asymmetric GARCH Model 17V. Main Empirical Results 195.1 Data and Summary Statistics 195.2 Mean-Variance Relation 21VI. Conclusion 26VII. Reference 28 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101357028 en_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 sentiment en_US dc.subject (關鍵詞) Market return en_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 Market en_US dc.type (資料類型) thesis en 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
