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題名:Google搜尋量指數對臺灣股票報酬與成交量之影響
書刊名:管理與系統
作者:李永隆杜玉振 引用關係王瑋瑄
作者(外文):Li, Yeong-longTu, Yu-chenWang, Wei-hsuan
出版日期:2017
卷期:24:4
頁次:頁565-590
主題關鍵詞:行為財務學搜尋量指數股價報酬股票成交量Behavioral financeGoogleSearch volume indexSVIStock returnStock trading volume
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(5) 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:5
  • 共同引用共同引用:56
  • 點閱點閱:16
本文旨在探討投資人注意力對股票報酬與成交量之影響;以Google 搜尋量指數 (SVI)為注意力之代理變數,經篩選臺灣中型100 指數成分股中56 家公司於2008-2015 期間之相關資料為研究樣本,透過追蹤資料 (panel data) 迴歸模型進行分析。經實證發現:(1)不論短期或長期,SVI 與股價報酬或股票成交量在大多時期均呈現顯著正相關;(2) SVI 與股價報酬之正相關程度,表現在低市值公司的強度大於高市值公司,支持Da et al. (2011) 的「規模效應」;(3)當投資人情緒處於相對高潮或低潮時,SVI 對股價報酬或股票成交量均有顯著的「情緒效應」影響。
This study examines the relationship between online search intensity and stock-trading behavior in Taiwan stock market. The search intensity measured by the search volume index (SVI) of company names on Google. Our sample consists of fifty-six stocks of Taiwan Mid-Cap 100 Index from 2008 to 2015. The empirical results are as follows. First, SVI are positively correlated with both stock returns and trading volumes in most periods of the short-term and the long-term. Second, that positive correlation between SVI and stock returns is greater for small stocks than for large stocks supports the size effect of Da et al. (2011). Third, SVI have significant sentiment effects on both stock returns and trading volumes when investors’ sentiment is relatively high or low.
期刊論文
1.Baker, M.、Wurgler, J.、Yuan, Y.(2012)。Global, local, and contagious investor sentiment。Journal of Financial Economics,104(2),272-287。  new window
2.Bank, Matthias、Larch, Martin、Peter, Georg(2011)。Google Search Volume and its Influence on Liquidity and Returns of German Stocks。Financial Markets and Portfolio Management,25(3),239-264。  new window
3.Da, Zhi、Engelberg, Joseph、Gao, Pengjie(2011)。In Search of Attention。The Journal of Finance,66(5),1461-1499。  new window
4.Vlastakis, Nikolaos、Markellos, Raphael N.(2012)。Information Demand and Stock Market Volatility。Journal of Banking and Finance,36(6),1808-1821。  new window
5.Huberman, Gur、Regev, T.(2001)。Contagious speculation and a cure for cancer: A nonevent that made stock prices soar。Journal of Finance,56(1),387-396。  new window
6.Brown, G. W.、Cliff, M. T.(2005)。Investor Sentiment and Asset Valuation。Journal of Business,78(2),405-440。  new window
7.Neal, R.、Wheatley, S. M.(1998)。Do Measures of Investor Sentiment Predict Stock Returns。Journal of Financial and Quantitative Analysis,33(4),523-547。  new window
8.Fehle, F.、Tsyplakov, S.、Zdorovtsov, V.(2005)。Can Companies Influence Investor Behavior through Advertising? Super Bowl Commercials and Stock Returns。European Financial Management,11(5),625-647。  new window
9.Joseph, K.、Wintoki, M. B.、Zhang, Z.(2011)。Forecasting Abnormal Stock Returns and Trading Volume Using Investor Sentiment: Evidence from Online Search。International Journal of Forecasting,27(4),1116-1127。  new window
10.Smales, Lee A.(2016)。Time-Varying Relationship of News Sentiment, Implied Volatility and Stock Returns。Applied Economics,48(51),4942-4960。  new window
11.Takeda, F.、Yamazaki, H.(2006)。Stock Price Reactions to Public TV Programs on Listed Japanese Companies。Economics Bulletin,13(7),1-7。  new window
12.Takeda, F.、Wakao, T.(2014)。Google Search Intensity and Its Relationship with Returns and Trading Volume of Japanese Stocks。Pacific-Basin Finance Journal,27,1-18。  new window
13.Rubin, A.、Rubin, E.(2010)。Informed Investors and the Internet。Journal of Business Finance and Accounting,37(7/8),841-865。  new window
14.周賓凰、張宇志、林美珍(20070700)。投資人情緒與股票報酬互動關係。證券市場發展季刊,19(2)=74,153-190。new window  延伸查詢new window
15.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。  new window
16.Baker, Malcolm、Wurgler, Jeffrey(2006)。Investor sentiment and the cross-section of stock returns。The Journal of Finance,61(4),1645-1680。  new window
17.蔡佩蓉、王元章、張眾卓(20090700)。投資人情緒、公司特徵與臺灣股票報酬之研究。經濟研究. 臺北大學經濟學系,45(2),273-322。new window  延伸查詢new window
18.Antweiler, Werner、Frank, Murray Z.(2004)。Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards。The Journal of Finance,59(3),1259-1294。  new window
19.Merton, Robert C.(1987)。A simple model of capital market equilibrium with incomplete information。The Journal of Finance,42(3),483-510。  new window
20.Barber, Brad M.、Odean, Terrance(2008)。All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors。Review of Financial Studies,21(2),785-818。  new window
研究報告
1.Kim, Y. H.、Meschke, F.。CEO Interviews on CNBC。  new window
 
 
 
 
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