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題名：投資人情緒對股票報酬之影響--馬可夫狀態轉換模式之應用
書刊名：創新與管理
作者：吳靖東 引用關係
作者(外文)：Wu, Jing-tung
出版日期：2014
卷期：10:4
頁次：頁67-94
主題關鍵詞：投資人情緒；馬可夫狀態轉換模式；股票報酬；Investor sentiment；Markov switching model；Stock return
原始連結：連回原系統網址new window
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  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:0
  • 點閱點閱:8
既往研究指出，由於各公司特性（characteristic）不同，其股票報酬受到投資人情緒的影響程度會有差異。本文探討台灣證劵市場的投資人情緒，採用馬可夫狀態轉換模式（Markov Switching Model），重新檢視傳統評價股票模式是否可區分為不同狀態，據以判斷投資人情緒存在的可能性及其影響。結果顯示有一半的樣本，確實存在有兩個狀態。代表投資人評估股票價值採用的標準，隨狀態不同而產生變化。因此擬定投資決策時，應先探討目前投資人情緒的狀態，方能採用較佳的模式。本研究成果發現，由於各公司狀況不一，將投資人情緒視為各公司股票的評價因子，比將其當做系統性訂價因子的傳統假設應更為適當。
It is found that stock returns are affected by investor sentiment at diverse extent due to the characteristic of the company. This paper adopts the Markov Switching Model (MSM) to examine the Taiwan Stock Exchange Corporation (TSEC) listed companies. The results show that investors using different models to evaluate the value of the stock at different regimes. It is suggested that we should analyze the regime of investor sentiment when we make a financial decision. Investor sentiment is more appropriate to be a pricing factor of individual stock than a system pricing factor.
期刊論文
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17.Kahneman, D.、Tversky, A.(1979)。Prospect theory: An analysis of decision under risk。Econometrica，47(2)，263-291。  new window
18.Kumar, Alok、Lee, Charles M. C.(2006)。Retail Investor Sentiment and Return Comovements。Journal of Finance，61(5)，2451-2486。  new window
19.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association，89(425)，208-218。  new window
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21.Neal, Robert、Wheatley, Simon M.(1998)。Do Measures of Investor Sentiment Predict Returns?。Journal of Financial and Quantitative Analysis，33(4)，523-547。  new window
22.Shefrin, Hersh、Statman, Meir(1985)。The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence。The Journal of Finance，40(3)，777-790。  new window
23.Lee, Charles M. C.、Swaminathan, Bhaskaran(2000)。Price Momentum and Trading Volume。The Journal of Finance，55(5)，2017-2069。  new window
24.Odean, Terrance(1998)。Volume, Volatility, Price, and Profit When All Traders Are Above Average。Journal of Finance，53(6)，1887-1934。  new window
25.Baker, Malcolm、Stein, Jeremy C.(2004)。Market liquidity as a sentiment indicator。Journal of Financial Markets，7(3)，271-299。  new window
26.Barberis, Nicholas、Shleifer, Andrei、Vishny, Robert W.(1998)。A model of investor sentiment。Journal of Financial Economics，49(3)，307-343。  new window
27.Chung, S.-L.、Hung, C.-H.、Yeh, C.-Y.(2012)。When does investor sentiment predict stock returns?。Journal of Empirical Finance，19(2)，217-240。  new window
28.de Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Noise trader risk in financial markets。Journal of Political Economy，98(4)，703-738。  new window
29.Baker, Malcolm、Wurgler, Jeffrey(2007)。Investor sentiment in the stock market。Journal of Economic Perspectives，21(2)，129-152。  new window
30.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance，61(4)，1645-1680。  new window
31.Hamilton, James D.(1989)。A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle。Econometrica: Journal of the Econometric Society，57(2)，357-384。  new window
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研究報告
1.邱顯比、許培基、葉銀華、陳軒基(2002)。散戶交易行為與投資績效。  延伸查詢new window
2.Dunne, P. G.、J. Forker、R. Powell、A. Zholos(2012)。Formal identification of sentiment effects in asset markets。  new window
3.Lutz, C.(2012)。Real time investor sentiment and stock returns。  new window
圖書
1.Markowitz, Harry M.(1959)。Portfolio Selection: Efficient Diversification of Investments。New York：Chapman & Hall。  new window
2.Fama, Eugene F.(1976)。Foundation of Finance。New York, NY：Basic Books。  new window
圖書論文
1.Tong, H.(1978)。On the threshold model。Pattern Recognition and Signal Processing。Amsterdam：Sijthoff and Noordhoff。  new window
 
 
 
 
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