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題名：投資人情緒之資訊內涵
作者：趙音茹
作者(外文)：Yin-Ru Jau
校院名稱：淡江大學
系所名稱：財務金融學系博士班
指導教授：李命志
黃健銘
學位類別：博士
出版日期：2022
主題關鍵詞：投資人情緒；波動率指數；偏斜指數；Investor sentiment；VIX Index；SKEW Index
原始連結：連回原系統網址new window
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本文主要探討當國際間發生重大事件時，是否可以採用情緒指標來捕捉投資市場的變動情形，並進一步觀察股市及債市在不同事件衝擊下，如何影響投資人的情緒及交易行為。有別於過去學者的做法，本文利用雙變量跳躍強度隨時間變動自我回歸條件異質變異數（Correlated Bivariate Poisson GARCH, CBP-GARCH）模型導入波動率指數及偏斜指數來觀察股市、債市之影響狀況，有效捕捉在重大事件時，股市、債市報酬瞬時跳躍的變化特性及共移性，並深入分析變數之間所產生的關聯性及影響。資料期間為2010年11月12日至2021年7月30日止。
研究發現，當市場發生衝擊時，波動率指數及偏斜指數和股票市場及債券市場走勢之間呈現負向關係，並且產生異常報酬。由於不存在效率市場以及投資人的過度反應和反應不足等現象，股、債市場呈現追漲殺跌的現象。同時因投資人預期心理發生不同的變化，故產生瞬間跳躍及叢聚效應。此外，當市場發生非金融性因素之重大事件時，偏斜指數之反應程度大於波動率指數，而外溢效果亦展現市場間具有單向或雙向關係。利用波動率指數與偏斜指數在擬訂投資策略或避險交易時，市場將存在資訊不對稱的可能性。此外，波動率指數與偏斜指數跳躍要素會隨時間推移而遞減，此現象表示出雖然市場受到非預期資訊傳遞衝擊，但是心理恐慌程度已漸趨緩，故波動率指數的波動與跳躍，是可預期大於偏斜指數。
This article mainly discusses whether it is possible to capture the overall sentiment of the investment market when major international events occur, and to further observe how the stock market and the market affect investors' claims and trading behavior under the impact of different events. Different from the practice of past scholars, this paper uses the Correlated Bivariate Poisson GARCH (CBP-GARCH) model to import the volatility index and skew index to observe the impact of the stock and bond markets. In order to capture the changing characteristics and co-movement of the instantaneous jump of stock and bond market returns during major events. And conduct in-depth analysis of the correlation and impact between variables. The data period is from November 12, 2010 to July 30, 2021.
The study found that when there is a market shock, the volatility index and skew index have a negative relationship with the stock market and bond market trends, and produce abnormal returns. At the same time, due to the different changes in investor expectations, Therefore, instantaneous jumping and clustering effects occur, when significant events of non-financial factors occur in the market. The skew index is more responsive than the volatility index. The spillover effect also shows that there is a one-way or two-way relationship between markets. Using investment indices and skew indices, there will be information in the market when developing investment strategies or safe-haven trades. In addition, the jump factor of the volatility index and the skew index will decrease with time, the degree of psychological panic has gradually eased.
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