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題名 市場情緒與股票報酬之研究
Does Market Sentiment Matter in Taiwan Stock Market?
作者 陳達勳
Chen, Dar-Shiun
貢獻者 郭維裕
陳達勳
Chen, Dar-Shiun
關鍵詞 股票
市場情緒
心理面
market sentiment
stock market
日期 2001
上傳時間 18-Apr-2016 16:24:36 (UTC+8)
摘要 The main purpose of this paper is to investigate the effect (if any) of investor sentiment on asset prices. To calibrate the ability of various market sentiment variables in forecasting stock returns, we followed the recursive regression methodology by Pesaran and Timmermann (1995,2000), taking into account the influences of regime switches on trading decisions of investors in real time. Our results suggest that stock returns may be difficult to predict when stock market is relatively unstable and investors are unsure of which forecasting model to be employed for trading strategies. This finding is not consistent with the empirical results of Pesran and Timmermann (1995). We also find that net buy (sell) of investment trusts and security dealers become in a close relation with stock returns after 1998, implying that institutional investors seem to reasonably capture the sentiment of the market and their trading strategies may reflect information asymmetries between managers and investors.
參考文獻 Barber, B. M., 1994, Noise trading and Prime and Score premiums, Journal of Empirical Finance, 251-278.
     Barberis N., Shleifer A., and Vishny R., 1998, A model of investor sentiment, Journal of Financial Economics 49, pp307-343.
     Black F, 1986, Presidental address: Noise, Journal of Finance 41, 529-543.
     Brown Gregory W., 1999, Volatility, sentiment, and noise traders, Financial Analyst Journal 55, 82-90.
     Brown G. W., and Cliff M. T., 1999, Sentiment and the stock market, Working Paper, University of North Carolina.
     Chopra N., Lee Charles M. C., Shleifer A., and Thaler R. H., 1993, Yes, discounts on closed-end funds are a sentiment index, Journal of Finance, 801-808.
     Clarke R. and Statman M., 1994, Growth, value, good, and bad, Financial Analyst Journal, 82-86.
     Clarke R. and Statman M., 1998, Bullish or bearish, Financial Analysts Journal, 63-72.
     Daniel K., Hirshleifer D., and Subrahmanyam A., 1998, Investor psychology and security market under- and overreactions, Journal of Finance, 1839-1885.
     Delong, J. B., Shleifer A., Summers L. H., and Waldmann R. J., 1990b, Positive feedback investment strategies and destabilizing rational speculation, Journal of Finance 45, 379-395.
     Elton E. J., Gruber M. J., Busse J. A., 1998, Do investors care about sentiment? , Journal of Business, 477-500.
     Engle, R. F., and Brown, S., 1985, Model Selection for Forecasting, Journal of Computation in Statistics.
     Ghosh S. K., Econometrics-Theory and Application, U.S.A., Prentice Hall, Inc, 1991.
     Hannan, E. J., and Quinn, B., 1979, The Determination of the Order of an Autoregression, J. Royal Stat. Society, Series B, vol. 41, pp190-195.
     Bowen John J. Jr., and Statman M., 1997, Performance games, Journal of Portfolio Management, 8-15.
     Johnston, J., 1984, Econometric Methods, McGraw-Hill, New York.
     Judge, G. G, Griffiths, W. E., Hill, R. C., Lutkepohl, H. and Lee, T. C., 1985, The theory and Practice of Econometrics, Wiley, New York.
     Fisher K. L., and Statman M., 1999, The sentiment of investor, large and small, Working Paper, Santa Clara University.
     Fisher K. L., and Statman M., 2000, Investor sentiment and stock returns, Financial Analysts Journal, 16-23.
     Lee Charles M. C., Myers J., and Swaminathan B., 1999, What is the intrinsic value of the Dow? , Journal of Finance, 1693-1741.
     Lee, C., Shleifer, A., and Thaler, R., 1991, Investor sentiment and the closed-ended fund puzzle, Journal of Finance 46, 75-100.
     Neal R., and Wheatley S. M., 1998, Do measures of investor sentiment predict returns?, Journal of Financial and Quantitative Analysis 33, 523-547.
     Pesaran M. H., and A. Timmermann, 1995, Predictability of stock returns: Robustness and economic significance, Journal of Finance, 1201-1228.
     Pesaran M. H., and A. Timmermann, 2000, A recursive modeling approach to predicting UK returns, The Economic Journal, 159-191.
     Ramanathan, R., 1993, Statistical Methods In Econometrics, San Diego, Academic Press, Inc.
     Ramanathan, R., 1992, Introductory Econometrics with Applications, Harcourt Brace Jovanorich, Forth Worth, Texas.
     Shefrin, H., and Statman M., 1994, Behavioral capital asset pricing theory, Journal of Financial and Quantitative Analysis 29, 323-349.
     Solt M. and Statman M., 1988, How useful is the sentiment index?, Financial Analysts Journal pp.45-55.
描述 碩士
國立政治大學
國際經營與貿易學系
88351007
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001520
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 陳達勳zh_TW
dc.contributor.author (Authors) Chen, Dar-Shiunen_US
dc.creator (作者) 陳達勳zh_TW
dc.creator (作者) Chen, Dar-Shiunen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:24:36 (UTC+8)-
dc.date.available 18-Apr-2016 16:24:36 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:24:36 (UTC+8)-
dc.identifier (Other Identifiers) A2002001520en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85307-
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) 88351007zh_TW
dc.description.abstract (摘要) The main purpose of this paper is to investigate the effect (if any) of investor sentiment on asset prices. To calibrate the ability of various market sentiment variables in forecasting stock returns, we followed the recursive regression methodology by Pesaran and Timmermann (1995,2000), taking into account the influences of regime switches on trading decisions of investors in real time. Our results suggest that stock returns may be difficult to predict when stock market is relatively unstable and investors are unsure of which forecasting model to be employed for trading strategies. This finding is not consistent with the empirical results of Pesran and Timmermann (1995). We also find that net buy (sell) of investment trusts and security dealers become in a close relation with stock returns after 1998, implying that institutional investors seem to reasonably capture the sentiment of the market and their trading strategies may reflect information asymmetries between managers and investors.en_US
dc.description.tableofcontents 封面頁
     證明書
     致謝詞
     論文摘要
     1. Introduction
     2. Methodology
     3. Data and Empirical Results
     3.1 Data sources
     3.2 Empirical Results
     4. Conclusion
     5. Reference
     Appendix		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001520en_US
dc.subject (關鍵詞) 股票zh_TW
dc.subject (關鍵詞) 市場情緒zh_TW
dc.subject (關鍵詞) 心理面zh_TW
dc.subject (關鍵詞) market sentimenten_US
dc.subject (關鍵詞) stock marketen_US
dc.title (題名) 市場情緒與股票報酬之研究zh_TW
dc.title (題名) Does Market Sentiment Matter in Taiwan Stock Market?en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Barber, B. M., 1994, Noise trading and Prime and Score premiums, Journal of Empirical Finance, 251-278.
     Barberis N., Shleifer A., and Vishny R., 1998, A model of investor sentiment, Journal of Financial Economics 49, pp307-343.
     Black F, 1986, Presidental address: Noise, Journal of Finance 41, 529-543.
     Brown Gregory W., 1999, Volatility, sentiment, and noise traders, Financial Analyst Journal 55, 82-90.
     Brown G. W., and Cliff M. T., 1999, Sentiment and the stock market, Working Paper, University of North Carolina.
     Chopra N., Lee Charles M. C., Shleifer A., and Thaler R. H., 1993, Yes, discounts on closed-end funds are a sentiment index, Journal of Finance, 801-808.
     Clarke R. and Statman M., 1994, Growth, value, good, and bad, Financial Analyst Journal, 82-86.
     Clarke R. and Statman M., 1998, Bullish or bearish, Financial Analysts Journal, 63-72.
     Daniel K., Hirshleifer D., and Subrahmanyam A., 1998, Investor psychology and security market under- and overreactions, Journal of Finance, 1839-1885.
     Delong, J. B., Shleifer A., Summers L. H., and Waldmann R. J., 1990b, Positive feedback investment strategies and destabilizing rational speculation, Journal of Finance 45, 379-395.
     Elton E. J., Gruber M. J., Busse J. A., 1998, Do investors care about sentiment? , Journal of Business, 477-500.
     Engle, R. F., and Brown, S., 1985, Model Selection for Forecasting, Journal of Computation in Statistics.
     Ghosh S. K., Econometrics-Theory and Application, U.S.A., Prentice Hall, Inc, 1991.
     Hannan, E. J., and Quinn, B., 1979, The Determination of the Order of an Autoregression, J. Royal Stat. Society, Series B, vol. 41, pp190-195.
     Bowen John J. Jr., and Statman M., 1997, Performance games, Journal of Portfolio Management, 8-15.
     Johnston, J., 1984, Econometric Methods, McGraw-Hill, New York.
     Judge, G. G, Griffiths, W. E., Hill, R. C., Lutkepohl, H. and Lee, T. C., 1985, The theory and Practice of Econometrics, Wiley, New York.
     Fisher K. L., and Statman M., 1999, The sentiment of investor, large and small, Working Paper, Santa Clara University.
     Fisher K. L., and Statman M., 2000, Investor sentiment and stock returns, Financial Analysts Journal, 16-23.
     Lee Charles M. C., Myers J., and Swaminathan B., 1999, What is the intrinsic value of the Dow? , Journal of Finance, 1693-1741.
     Lee, C., Shleifer, A., and Thaler, R., 1991, Investor sentiment and the closed-ended fund puzzle, Journal of Finance 46, 75-100.
     Neal R., and Wheatley S. M., 1998, Do measures of investor sentiment predict returns?, Journal of Financial and Quantitative Analysis 33, 523-547.
     Pesaran M. H., and A. Timmermann, 1995, Predictability of stock returns: Robustness and economic significance, Journal of Finance, 1201-1228.
     Pesaran M. H., and A. Timmermann, 2000, A recursive modeling approach to predicting UK returns, The Economic Journal, 159-191.
     Ramanathan, R., 1993, Statistical Methods In Econometrics, San Diego, Academic Press, Inc.
     Ramanathan, R., 1992, Introductory Econometrics with Applications, Harcourt Brace Jovanorich, Forth Worth, Texas.
     Shefrin, H., and Statman M., 1994, Behavioral capital asset pricing theory, Journal of Financial and Quantitative Analysis 29, 323-349.
     Solt M. and Statman M., 1988, How useful is the sentiment index?, Financial Analysts Journal pp.45-55.		zh_TW