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題名：跨市場情緒與報酬互動關係之研究－以兩岸三地股市為例
作者：張四薰 引用關係
作者(外文)：Chang, Sze-Hsun
校院名稱：國立臺北大學
系所名稱：企業管理學系
指導教授：古永嘉
王祝三
學位類別：博士
出版日期：2012
主題關鍵詞：情緒；均值返還；均值蔓延效應；波動外溢效應；非線性不對稱平滑轉換一般自我迴歸條件異質變異數模型（ANST-STAR-GARCH）；Overconfidence；mental account；self-control；risk attitude；disposition effect；Structural Equation Modeling；path analysis
原始連結：連回原系統網址new window
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本研究本研究嘗試用行為財務學的角度，從兩岸三地證券市場觀點，探討投資人情緒與市場報酬間非線性之均值蔓延與波動外溢關係。
研究結果顯示：(1).跨市場投資人情緒與市場報酬間具正相關且具共整合關係；若產生偏離時亦皆能進行短期修正，以調整回其共同的長期趨勢。 (2).跨市場投資人情緒與市場報酬兩兩變數間共15組之Granger因果關係檢定則部份成立，其中6組具雙向領先的回饋關係，7組具單向領先的因果關係：2組彼此不具領先之獨立關係。(3).投資人情緒與市場報酬各變數均具非線性均值返還特質。(4).跨市場投資人情緒與市場報酬之均值蔓延與波動外溢關係說明如下：在均值蔓延部份，大陸和香港市場不管在投資人情緒或市場報酬間，均無均值蔓延效應。台灣投資人情緒以非線性不對稱均值蔓延至大陸投資人情緒，並以非線性關係均值蔓延至香港投資人情緒。對照大陸及香港市場報酬，皆有非線性不對稱均值蔓延至台灣市場報酬之關係，恰成對比。意即，前期台灣投資人情緒會影響大陸與香港投資人情緒，而前期大陸與香港市場報酬則會影響台灣市場報酬。在波動外溢部份，除了大陸投資人情緒沒有波動外溢至香港投資人情緒之關係外，其餘投資人情緒分別具線性或非線性之波動外溢關係。至於三市場報酬彼此間均具波動外溢效應，除了台灣市場報酬對香港市場報酬為非線性不對稱關係外，其它均為線性波動外溢關係。
根據本研究發現，建議投資人在投資決策的分析上，不能只瞭解單一市場報酬，且需要進一步考量投資人情緒之影響，更需要考慮跨市場間投資人情緒與市場報酬之互動效應。
This study explores the non-linear contagion effect and volatility spillover effect on investor sentiment and stock returns from the perspective of behavioral finance and with evidence from the Taiwan, Mainland China, and Hong Kong stock markets.
The research results suggest that: (1) cross-market investor sentiment is cointegrated and positively correlated with stock returns. If deviation occurs, short-term adjustments can be made to bring the course back to its long-term direction; (2) Granger causality is partially found in the 15 groups of variables; and (3) all the variables of both investor sentiment and stock returns all exhibit the feature of nonlinear mean reversion. (4) In addition, contagion effect and volatility spillover effect on investor sentiment and stock returns are as follows:
In terms of mean contagion, there is no presence of the contagion effect on the Mainland China and Hong Kong markets, whether in investor sentiment or stock returns. The investor sentiment mean contagion from Taiwan spread to the Mainland China investors’ sentiment in a non-linear and asymmetrical way, and to Hong Kong investors in a non-linear way. By contrast, the stock returns mean contagion from the Mainland China and Hong Kong spread to Taiwan in a non-linear and asymmetrical way. In conclusion, at the beginning, Taiwan investors’ sentiment affected that of the Mainland and Hong Kong investors, as well as that fact their Mainland China and Hong Kongs’ stock returns in the earlier periods affected those of Taiwan.
In terms of volatility spillover, except for the fact that Mainland China investor sentiment didn’t spill over into Hong Kong’s, there was linear or non-linear volatility spillover phenomenon for rest of the investors. Also, in all three markets, there were interactions of stock returns volatility spillover effect, except that the Taiwan spillover into Hong Kong was in a non-linear and asymmetrical way, whereas the others were all linear.
This study investigates interactions between investor sentiment and stock returns from the perspective of the former, helps investors form cross-market investment decisions, and provides enterprises and investors with important practical meanings in terms of operation. The paper suggest that, when analyzing investment decisions, investors should not just pay attention to stock returns, but further take into consideration the impact of investor sentiment and, moreover, cross-market interaction effect between investor sentiment and stock returns.
一、中文部份
周賓凰、張宇志、林美珍 (2007)，「投資人情緒與股票報酬互動關係」，證券市場發展季刊，第19卷第2期：頁153-190。new window

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