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題名：投資人情緒之傳遞效果-以臺灣股票市場及期貨市場為例
作者：林家妃 引用關係
作者(外文)：Cha-Fei Lin
校院名稱：國立雲林科技大學
系所名稱：財務金融系博士班
指導教授：李春安
王毓敏
學位類別：博士
出版日期：2011
主題關鍵詞：樂透型股票；SWARCH；EGB2；投資人情緒；Lottery Stock；SWARCH；EGB2；Investor Sentiment
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本研究主要探討投資人情緒對於台灣金融市場的影響，並將其區分為三大部份。首先，探討投資人情緒對期貨市場的影響，並加入馬可夫及高階動差模型。實證結果顯示，投資人情緒會影響期貨市場的報酬與波動性，且當情緒提高或降低時，對於期貨市場皆會產生不同的影響。而本文所納入的SWARCH模型及EGBeta-2 distribution (EGB2)模型在區分情緒高低波動及波動預測中皆具有足夠的顯著效果。
　　再者，持續探討投資人情緒在期貨市場及現貨市場的傳遞效果。本文認為由於台灣期貨市場的散戶投資人相對較少且其性質較繁複，因此，其投資人情緒反應以股票市場較為明顯。實證結果也發現，只有現貨市場的投資人情緒指數具有傳遞效果，而期貨市場投資人情緒指數的效果則不顯著，故本文認為投資人情緒指數的傳遞效果為單邊效果。
　　最後，本研究利用Kumar (2009)的定義，將台灣上市公司股票區分出高樂透性質及低樂透性質股票。文中發現，高樂透性質股票的投資人情緒指數較低樂透性質股票具有較顯著的報酬預測效果。綜上所述，本研究認為投資人情緒對於預測金融市場報酬及波動性上確實扮演重要的角色。
This study aims to investigate the transmission effect of investor sentiment in the Taiwan stock and stock index futures markets. There are three part of thought on the paper. The first, we examine the impact of investor sentiment on the Taiwan Futures Exchange. The application of the EGB2 model reveals the existence of a clear and significant relationship between sentiment and volatility, particularly in the MSCI, TE and TF futures markets. Our study suggests that the EGB2 model is effective in volatility forecasting and that the SWARCH model is a useful method of discriminating between the volatility arising from investor sentiment in the futures market.
Moreover, the paper investigates the sentiment transmission effects between the Taiwan stock and futures markets. Due to the fewer individual investors and complex in the stock index futures market, the market is less price discovery than the stock market. And most stock index trade at difference price at all times, whereby the investor sentiment, high or down, with a new and more efficiency message. Therefore, the futures sentiment would not affect or less and short influence on the stock or futures market. Our findings indicate that sentiment transmission effect can be explained by unilateral effect, suggesting that stock sentiment-driven trading affect stock or stock index futures market returns.
Finally, we examine the effect of investor sentiment with lottery-type stocks (Kumar, 2009). Our empirical results show that in regions with higher distraction affect the stock return more than low religion''s. Besides, a rise or fall in investor sentiment does affect stock volatility, particularly the bullish sentiment. Overall, our paper shows that the investor sentiment plays an important role in the financial market.
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