投資人情緒指標與台股報酬率關係之研究

Abstract

在台灣的證券市場中，散戶投資人的情緒常常較容易受到市場氣氛的影響，因此，本文想了解一般大眾如果能夠嘗試分析投資人情緒與股價的關係，他們是否有機會可從股市中獲取較多的利潤？本文選定五個變數組成投資人情緒指標，再根據統計方法建立四種不同天期下的同期迴歸模型與跨期迴歸模型，並藉由分析統計數據了解投資人情緒指標與股價報酬率之間的關係，最後利用迴歸模型進行模擬投資試驗，結果發現： (1) 隨著天期的增加，報酬率的標準差亦增加。 (2) 本文所建立的跨期迴歸模型，在模擬投資期間所得到的投資報酬率並無法顯著優於大盤。

ABSTRACT In Taiwan stock market, individual investors’ sentiments are usually more easily affected by the market’s atmosphere. Therefore, we want to know that if investors could get better returns than the market through comprehend the relationship between investors’ sentiments and returns on TAIEX. This paper selected five variables to construct investor’s sentiment indices. Based on statistical method, the same period of regression model and the next period of regression model with four different experiment days are established to measure the relationship between investor’s sentiment indices and returns on TAIEX. Then, we used the regression models to simulate investment returns, and reached the following conclusions： (1) With the increase of experiment days, the standard deviation of return on TAIEX was also increasing. (2) The regression model established during the research period can not significantly generate better returns than the market.