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題名：從行為財務學的觀點探討影響股市報酬之主要因素
作者：劉文祺
作者(外文)：Wen-Chi Liu
校院名稱：逢甲大學
系所名稱：商學研究所
指導教授：張倉耀
學位類別：博士
出版日期：2009
主題關鍵詞：情緒因子；股市報酬；GJR-GARCH-M Model；縱橫門檻迴歸模型；Stock Market Returns；Sentiment Factors；GJR-GARCH-M Model；Panel Threshold Regression Model
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本研究延伸Chang’s et al. (2006)實證的結果，並應用GJR-GARCH-M 及 panel threshold regression等兩模式，加以探討七大工業國股市報酬與情緒因子間的關係，本研究採用「雲量」、「溫度」及「股市成交值週轉率」作為衡量投資人情緒的代理變數。透過更嚴謹的實證過程，本研究發現三個情緒因子中，「股市成交值週轉率」與「股市報酬」最具相關性。此外，將情緒因子加以考慮門檻時，結果發現，當投資人的情緒由冷轉為較不冷時，較高的「股市成交值週轉率」與較高的「股市報酬」有正向的關係。但當投資人的情緒由熱轉為更熱時（即更高的股市週轉率），較高的雲量，將對投資人的情緒，產生冷卻的效果，使得股市的報酬，傾向於減少。截至目前為止，應用GJR-GARCH-M與縱橫門檻迴歸模型加以探討情緒因子與股市報酬關係的文章仍不多見，因此我們深信，此研究成果應可為實務界及學術界帶來高度的貢獻。
This study extends Chang’s et al. (2006) empirical results and applies two main models of GJR-GARCH-M and panel threshold regression model to re-investigate the relationships between stock market returns and sentiment factors for G-7 countries. Three sentiment factors-- cloud cover, temperature, and turnover ratio in terms of trading value are treated as proxies for investor sentiment. Through more rigid empirical procedure, this study finds the turnover ratio in terms of trading value is more related to stock market returns among three sentiment factors. In respect of threshold effects of sentiment factors, the higher turnover ratio is also positively associated with higher stock market returns when the investor sentiment changes from ‘cold’ into ‘less cold’. However, higher cloud cover will calm down the investor sentiment and stock market returns tend to slump when investor sentiment changes from ‘hot’ into ‘hotter (i.e., higher turnover ratio). Up to now, few studies employ GJR-GARCH-M and panel threshold regression models to investigate the relationships between sentiment factors and stock market return. Consequently, we believe that this study would be able to contribute high practical and academic value to the current literature.
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