新聞頻率、散戶投資人情緒與股價共動性

Abstract

本文以2003/12~2013/12間台灣上市公司股票的交易資料，檢視公司的媒體報導頻率、散戶投資人情緒和股價報酬率的關係，並探討在不同的市場狀態下三者關係是否改變。實證結果顯示：(1)新聞頻率對股票超額報酬率有正面影響，且小型公司的股價報酬率對新聞頻率的反應較慢。(2)散戶投資人情緒則對新聞頻率對股價報酬率的影響有部分中介效果。(3)小型公司的股價報酬率會受到大型公司新聞頻率的負面影響，尤其在牛市時效果更強。

This study investigates the relationship among media coverage, retail investor sentiment and stock return in Taiwan stock market from December 2003 to December 2013. We also examine whether the relationship would change on different market state or not.

The result indicates that first, news frequency has positive influence on excess stock return, and stock returns of small firms react to news frequency more slowly than big firms. Secondly, retail investor sentiment has a partial mediation effect on the path of news frequency to stock return. Thirdly, the news frequency of the big-firm portfolio has negative influence on the excess stock return of the small-firm portfolio, especially during a bull market.