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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 陳思寬 | |
dc.contributor.author | Chi-Shu Ting | en |
dc.contributor.author | 丁啟書 | zh_TW |
dc.date.accessioned | 2021-06-08T06:56:50Z | - |
dc.date.copyright | 2009-07-28 | |
dc.date.issued | 2009 | |
dc.date.submitted | 2009-07-21 | |
dc.identifier.citation | 一、英文部分
1. Alpert, M. and H. Raiffa (1982). “A progress report on the training of probability assessors,” Daniel Kahneman, Paul Slovic, and Amos Tversky, ed.: Judgment under Uncertainty: Heuristics and Biases (Cambridge University Press, Cambridge and New York). 2. Amihud, Y. and Mendelson, H. (1980). “Dealership market: market-making with inventory,” Journal of Financial Economics 8, 31–53 3. Baker, M. and J.C. Stein (2004). “Market liquidity as a sentiment indicator,” Journal of Financial Markets 7, pp. 271-299. 4. Baker, M. and Wurgler, J. (2000). “The equity share in new issues and aggregate stock returns,” Journal of Finance 55, pp. 2219-2257. 5. Barber, B. M. and T. Odean (1999). “The courage of misguided convictions,” Association for Investment and Research, pp. 41-55. 6. Barber, B. M. and T. Odean (2000). “Too many cooks spoil the profits: Investment club performance,” Association for Investment and Research, pp. 17-25. 7. Barber, B. M. and T. Odean (2000). “Trading is hazardous to your wealth: The common stock investment performance of individual investors,” Journal of Finance 55, pp. 773-806. 8. Barber, B. M. and T. Odean (2001). “Boys will be boys: Gender, overconfidence and common stock investment,” Quarterly Journal of Economics 116(1), pp. 261-292. 9. Brennan, M. and Subrahmanyam, A. (1996). “Market microstructure and asset pricing: on the compensation for illiquidity in stock returns,” Journal of Financial Economics 41, pp. 441–464. 10. Barber, B. M., T. Odean and L. Zheng (2001). “Out of sight, out of mind:The Effects of Expenses on Mutual Fund Flows,” working paper. 11. Brown, G. W. and M. T. Cliff (2001). “Investor sentiment and near term stock market,” Working Paper, Kenan-Flagler Business School, University of North Carolina at Chapel Hill, September 2001. 12. Chordia, T., Roll, R., Subrahmanyam, A. (2000). “Commonality in liquidity,” Journal of Financial Economics 56, pp. 3–28. 13. Daniel, K., D. Hirshleifer, and A. Subrahmanyam (1998). “Investor psychology and security market under- and overreactions,” Journal of Finance 53(6), 1839-1985. 14. De Bondt, W. F. M. (1991). “What do economists know about the stock market?” Journal of Portfolio Management 17, pp. 84-91. 15. De Bondt, W. F. M. and R. H. Thaler (1995). “Financial decision-making in markets and firms: A behavioral perspective,” Robert A. Jarrow, V. Maksimovic, and W. Z. Ziemba, ed.: Finance, Handbooks in Operations Research and Management Science 9, pp. 385-410 (Amsterdam: North Holland). 16. De Long, J. B., A. Shleifer, L. Summers and R. J. Waldmann (1990). “Positive feedback investment strategies and destabilizing rational speculation,” Journal of Finance 45, pp. 375-395. 17. Fama, E. F. (1970). 'Efficient Capital Markets: A Review of Theory and Empirical Work,' Journal of Finance 25, pp. 383-417. 18. Huberman, G. and Halka, D. (2001). “Systematic liquidity,” Journal of Financial Research 24, pp. 161–178 19. Hvide, H. K. (2002) “Pragmatic beliefs and overconfidence,” Journal of Economic Behavior and Organization forthcoming 48, pp. 15-29. 20. Kahneman, D. and A. Tversky (1973). “On the psychology of prediction,” Psychological Review 80, pp. 237-251. 21. Kahneman, D. and A. Tversky (1979). “Prospect Theory: An Analysis of Decision under Risk,” Econometrica 47, pp. 263-291. 22. Kahneman, D. and M. W. Riepe (1998). “Aspects of investor psychology,” Journal of Portfolio Management, pp. 52-65. 23. Lichtenstein, S., B. Fischhoff, and L. Philips (1982). “Calibration of probabilities: The state of the art to 1980,” Daniel Kahneman, Paul Slovic, and Amos Tversky, ed.: Judgment under Uncertainty: Heuristics and Biases (Cambridge University Press, Cambridge and New York). 24. Mullainathan, S. and R. H. Thaler (2000). “Behavioral economics,” NBER Working Paper No. 7948. Forthcoming in the International Encyclopedia of the Social and Behavioral Sciences. 25. Nelson, William R., (1999). “The aggregate change in shares and the level of stock prices,” Working paper, Federal Reserve Board 26. Odean, T. (1998). “Volume, volatility, price, and profit when all traders are above average,” Journal of Finance 53(6), 1887-1934. 27. Shefrin, H. (2000). “Beyond Greed and Fear,” Boston, MA: Harvard Business School Press. 28. Shefrin, H. and M. Statman (1994). “Behavioral capital asset pricing theory,” Journal of Finance and Quantitative Analysis 29, 323-349. 29. Shiller, R. J. (1984). “Stock prices and social dynamics,” Brookings Papers on Economic Activity 2, pp. 457-498. 30. Shleifer, A. (2000). Inefficient Market, Oxford: Oxford U. Press. 31. Shleifer, A. and L. Summers (1990). “The noise trader approach to finance,” Journal of Economic Perspectives 4, 19-23. 32. Shleifer, A. and R. Vishny (1997). “The limits to arbitrage,” Journal of Finance 52, pp.35-55. 33. Statman, M. and S. Thorley (1999). “Investor overconfidence and trading valume,” working paper. 34. Taylor, S. and J. D. Brown (1988). “Illusion and well-being: A social psychological perspective on mental health,” Psychological Bulletin 103(2), pp.193 -210. 35. Thaler, R. H. (1999), “The end of behavioral finance,” Financial Analysts journal (November-December), pp. 18-27. 二、中文部分 1.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 19(2), 153-190。 2.曾昭玲, 林政緯, 2005, 調整股市信用交易條件對股價報酬率與波動性影響之探討, 風險管理學報 7(1), 53-77。 3.許溪南, 詹司如, 林靖中, 謝東瀛, 2006, 新上市股票開放信用交易對價格波動性與成交量之影響, 商管科技季刊 7(3), 531-549。 4.臺灣證券交易所網站 | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/25902 | - |
dc.description.abstract | 本文以Baker and Stein(2004)的模型設計進行實證分析,在有放空限制下的台灣股票市場是否能符合Baker and Stein(2004)所做的結論:以流動性做為情緒性指標確實能預測股價報酬。樣本研究時間為1994年1月至2009年5月。並從樣本時間中切出三段時間做制度面比較,探討在有放空限制下和無放空限制下,市場間是否有顯著的差異。
實證結果發現:以當期新股發行比率、周轉率為代表的情緒性指標對於下一期的市場報酬的相關係數均為負數。證實Baker and Stein(2004)的推論--在有放空限制的市場下,市場的高流動性是由於非理性投資者參與的緣故,當市場情緒越高,雜訊交易者會更想持有更多股票,因此交易量上升、股票周轉率增高,股票價格也因而高估,進而預期未來有較低的市場報酬。 但在以時間作切割的制度面比較的模型,相關係數彼此差異並不明顯。因此無法探究在有放空限制和無放空限制下的期間差別為何。分析原因可能為台灣信用交易制度的影響和政府長期干預股市結果,使得市場長期處於放空限制下,投資人的行為因此而受到影響 | zh_TW |
dc.description.abstract | The main purpose of this study is to provide evidence of a link between investor sentiment indicators and returns in Taiwan stock market. Based on the model designed by Baker and Stein in 2004, I chose several different liquidity measures as a proxy for investor sentiment. The study sample covers the period from January 1994 to May 2009. In order to investigate the difference in outcomes between the market with short-sales constraints and the market without short-sales constraints, I divided the sample into three sub-periods. The results are shown below:
First, the model features a class of irrational investors, who under-react to the information contained in order flow, thereby boosting liquidity. In the presence of short-sales constraints, high liquidity is a symptom of the fact that the market is dominated by these irrational investors, and hence is overvalued. Second, the difference of coefficients in the three sub-periods is not obvious. Accordingly, we could not get the conclusion of the distinction between the market with short-sales constraints and the market with no short-sales constraints. I conclude that there are two possible reasons leading to the results mentioned above, one is the impact of the credit trading system and the other one being government intervention in Taiwan’s stock market. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T06:56:50Z (GMT). No. of bitstreams: 1 ntu-98-R94724033-1.pdf: 355232 bytes, checksum: e70f4a6d0186a82c104ffb866078d840 (MD5) Previous issue date: 2009 | en |
dc.description.tableofcontents | 口試委員會審定書 I
謝辭 II 中文摘要 III Abstract IV 目錄 V 表目錄 VI 第一章 緒論 1 1.1研究背景與動機 1 1.2研究目的 3 第二章 文獻回顧 4 2.1行為財務學 4 2.2過度自信假說理論 9 2.3過度自信假說實證 11 2.4流動性情緒指標 13 第三章 研究設計 17 3.1資料對象與來源 17 3.2資料選取期間與證券放空交易制度沿革 18 3.3變數定義與衡量 21 第四章 實證結果分析 24 4.1敘述統計與相關分析 24 4.2迴歸結果分析 27 第五章 結論與建議 34 5.1研究結論 34 5.2研究侷限性與對後續研究者的建議 35 參考文獻 36 一、英文部分 36 二、中文部分 38 | |
dc.language.iso | zh-TW | |
dc.title | 情緒性指標在有放空限制下的市場實證-以台灣為例 | zh_TW |
dc.title | Sentiment Indicator In Short-sales Constraints Market -Evidence From Taiwan | en |
dc.type | Thesis | |
dc.date.schoolyear | 97-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 萬哲鈺,張銘仁 | |
dc.subject.keyword | 情緒性指標,流動性,放空限制, | zh_TW |
dc.subject.keyword | Liquidity,Sentiment,Short-sales constraints, | en |
dc.relation.page | 38 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2009-07-22 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業管理組 | zh_TW |
顯示於系所單位: | 國際企業管理組 |
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