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題 名 | 臺灣散戶投資人與上市公司股價報酬關係之研究=The Study on Relationship between Individual Investor Sentiment and Stocks Return |
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作 者 | 林坤輝; 趙士傑; 賴建成; | 書刊名 | 遠東學報 |
卷 期 | 28:3 2011.09[民100.09] |
頁 次 | 頁209-241 |
分類號 | 563.54 |
關鍵詞 | 投資人情緒; 行為財務; 多空頭; Investor sentiment; Behavior finance; Bullish and bearish; |
語 文 | 中文(Chinese) |
中文摘要 | 台灣散戶投資人交易比重占整體股市的七成多,所以散戶投資人在台灣股市扮演相當重要的角色,一般認為高比例散戶的台灣股市易受散戶投資人情緒影響而波動性較大,本研究以散戶投資人買賣壓力、散戶投資人週轉率、券資比、當日沖銷比率等四個變數代表散戶投資人情緒指標, 2005年3月1日到2008年2月29日為研究期間,並進一步劃分多空頭期間,利用Granger因果相關檢定及向量自我迴歸模型,以瞭解散戶投資人情緒指標與股價報酬之互動關係是否有影響性。研究實證發現,當日沖銷比率在多頭期間受到股價報酬影響呈現較顯著情況,券資比則是在空頭期間受到股價報酬影響比較明顯;散戶投資人情緒指標各變數則皆受到股價指數報酬落後一期的顯著影響,而以散戶投資人週轉率受到股價指數報酬的影響最為明顯;衝擊反應方面,以股價報酬對散戶投資人買賣壓力及券資比的衝擊反應結果在初期呈現負向反應,而散戶投資人週轉率與當日沖銷比率的衝擊反應結果則在初期呈現正向反應;由預測誤差變異分解結果,股價報酬對散戶投資人買賣壓力與當日沖銷比率的解釋能力明顯比較高。 |
英文摘要 | Individual investors’ trade volumes occupy stock market about 70% and play an important role in Taiwan. General considers high portion individual investors of stock market in Taiwan have rapid variability by individual investors’ sentiment. In this paper, we study about the connection between individual investor sentiment and stocks return. We use individual investors’ buy-sell imbalance, individual investors’ turnover, day trading ratio and margin purchases ratio as individual investors’sentiment indicators. Our study date from 2005/3/1 to 2006/6/30, and analysis of bullish and bearish. We apply Granger cause test and Vector Auto regression model to investigate the connection between individual investor sentiment and stocks return. Our empirical result show:Day trading ratio cause from stocks return is significant in bullish but margin purchase ratio is in bearish. All of individual investors’ sentiment indicators cause from stocks return is significant for 1 lag. And individual investors’ turnover is presentation. From Impulse Response Function, stock returns to buy-sell imbalance and margin purchase ratio present a negative relation at beginning; individual investors’ turnover and day trading ratio present a positive relation at beginning. From Variance Decomposition, stock returns to buy-sell imbalance and day trading ratio have better explanation. |
本系統中英文摘要資訊取自各篇刊載內容。