情緒指標預測股票報酬、波動型以及流動性的有效性

Abstract

本研究將檢驗Baker and Wurgler(2006)所建立的情緒指標對於S P500指數的報酬、波動性、流動性是否能有預測力。以及更改建構情緒指標中的一些步驟，觀察結果是否會有差異。本研究實證結果發現Baker and Wurgler(2006)的情緒指標並不能良好預測S P500指數的報酬、波動性、流動性，尤其是以滾動式的方式編製情緒指標時幾乎沒有任何預測力。

This thesis examines whether sentiment indexes proposed by Baker and Wurgler (2006) and its modifications can predict return, volatility and liquidity of S P500 index. Moreover, this research investigates the differences by altering some critical steps of compiling the sentiment index proposed by Baker and Wurgler (2006). Empirical tests show that the sentiment index proposed by Baker and Wurgler (2006) and its modifications cannot predict return, volatility and liquidity of S P500 index well, especially when rolling window scheme is adopted.