請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58616完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 莊文議(Wen-I Chuang) | |
| dc.contributor.author | Chien-Ming Yen | en |
| dc.contributor.author | 閻建銘 | zh_TW |
| dc.date.accessioned | 2021-06-16T08:22:20Z | - |
| dc.date.available | 2025-07-13 | |
| dc.date.copyright | 2020-07-17 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-07-13 | |
| dc.identifier.citation | 1. Aboura, Sofiane. Individual investors and stock returns. Journal of Asset Management, 17, 477–485. (2016). 2. Agustín, Daviou, Paraschiv Florentina. Investor Behavior under Changing Market Volatility. The Journal of Investing, 23 (2) 96-113. (2014). 3. Amihud, Yakov. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56. (2002). 4. Baker, Malcolm, Jeffrey Wurgler. Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance, 61, 1645–1680. (2006). 5. Baker, Malcolm, Jeffrey Wurgler. Investor Sentiment in the Stock Market. Journal of Economic Perspectives, 21 (2): 129-152. (2007). 6. Baker, Malcolm, Jeremy C Stein. Market liquidity as a sentiment indicator. Journal of Financial Markets, 7(3): 271-299. (2004). 7. Beer, Francisca, Mohamed Zouaoui. Measuring Stock Market Investor Sentiment. Journal of Applied Business Research, 29(1), 51-68. (2012). 8. Brown, Gregory W.. Volatility, Sentiment, and Noise Traders. Financial Analysts Journal, 55:2, 82-90. (1999). 9. Brown, Gregory W., Michael T.Cliff. Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1):1–27. (2004). 10. Brown, Gregory W., Michael T.Cliff. Investor sentiment and asset valuation. Journal of Business, 78(2): 405–440. (2005). 11. Chang, Chuang-Chang, Pei-Fang Hsieh, Yaw-Huei Wang. Sophistication, Sentiment, and Misreaction. Journal of Financial and Quantitative Analysis , 50:4, 903–928, (2015). 12. Fisher, Kenneth L., Meir Statman. Investor Sentiment and Stock Returns. Financial Analysts Journal, 56:2, 16-23. (2000). 13. Fisher, Kenneth L., Meir Statman. Consumer Confidence and Stock Returns. The Journal of Portfolio Management, 30 (1) 115-127. (2003). 14. Jitmaneero, Boonlert. Does investor sentiment affect price-earnings ratios?. Studies in Economics and Finance, 34:2, 183-193. (2017). 15. Lee, Pei-En, The Empirical Study of Investor Sentiment on Stock Return Prediction. International Journal of Economics and Financial Issues, 9(2), 119-124. (2019). 16. Liu, Shuming. Investor Sentiment and Stock Market Liquidity. The Journal of Behavioral Finance, 16: 51–67. (2015). 17. Molchanov, Alexander, Jeffrey Stang. Investor sentiment and industry returns. International Journal of Finance and Economics, 23:546–570. (2018). 18. Rahman, Md Lutfur, Abul Shamsuddin. Investor sentiment and the price-earnings ratio in the G7 stock markets. Pacific-Basin Finance Journal, 55:46-62. (2019). 19. Ryu, Doojin, Hyeyoen Kim,Heejin Yang. Investor sentiment, trading behavior and stock returns. Applied Economics Letters, 24:12, 826-830. (2017). 20. Shu, Hui-Chu, Jung-Hsien Chang. Investor Sentiment and Financial Market Volatility. The Journal of Behavioral Finance, 16: 206–219. (2015). 21. Sibley, Steven E., Yanchu Wang, Yuhang Xing, Xiaoyan Zhang. The information content of the sentiment index. Journal of Banking Finance, 62: 164–179. (2016). 22. Smales, L.A.. The importance of fear: investor sentiment and stock market returns. Applied Economics, 49:34, 3395–3421. (2017). | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58616 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T08:22:20Z (GMT). No. of bitstreams: 1 U0001-1207202016431000.pdf: 2193816 bytes, checksum: c918bf6d69bfb0a9b9339b48ad369d8e (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 第一章、 緒論 1 第二章、 文獻回顧 3 2.1 情緒相關文獻 3 2.2 Baker and Wurgler情緒指標 4 2.3 Baker and Wurgler情緒指標的有效性 6 第三章、 研究樣本與研究方法 7 3.1 情緒代理變數 7 3.2 景氣循環變數 8 3.3 股票指數應變數 9 3.4 編製情緒指標 11 3.5 迴歸分析 16 3.6 敘述統計 17 第四章、 實證結果 19 4.1情緒指標不同編製方法對股票指數的預測 19 4.2 情緒指標增加變數對股票指數的預測 23 4.3 滾動式情緒指標對股票指數的預測 28 4.4 情緒代理變數直接對股票指數預測 32 4.5 穩健性測試 35 第五章、 結論 36 參考文獻 38 附錄A、情緒指標變化量對S P500報酬預測 41 附錄B、滾動式情緒指標變化量對S P500報酬預測 43 附錄C、滾動式9變數情緒指標對股票指數預測 45 附錄D、9情緒代理變數直接對股票指數預測 49 | |
| dc.language.iso | zh-TW | |
| dc.subject | 情緒指標 | zh_TW |
| dc.subject | 衡量投資者情緒 | zh_TW |
| dc.subject | S P500報酬 | zh_TW |
| dc.subject | S P500波動性 | zh_TW |
| dc.subject | S P500流動性 | zh_TW |
| dc.subject | S P500 Liquidity | en |
| dc.subject | Investor Sentiment Measures | en |
| dc.subject | S P500 Return | en |
| dc.subject | S P500 Volatility | en |
| dc.subject | Sentiment Index | en |
| dc.title | 情緒指標預測股票報酬、波動型以及流動性的有效性 | zh_TW |
| dc.title | The Effectiveness of Sentiment Indexes on Predicting Market Return, Volatility and Liquidity | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 王之彥(Jr-Yan Wang) | |
| dc.contributor.oralexamcommittee | 何耕宇(Keng-Yu Ho),繆維中(Wei-Chung Miao) | |
| dc.subject.keyword | 情緒指標,衡量投資者情緒,S P500報酬,S P500波動性,S P500流動性, | zh_TW |
| dc.subject.keyword | Sentiment Index,Investor Sentiment Measures,S P500 Return,S P500 Volatility,S P500 Liquidity, | en |
| dc.relation.page | 51 | |
| dc.identifier.doi | 10.6342/NTU202001450 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2020-07-14 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| U0001-1207202016431000.pdf 未授權公開取用 | 2.14 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。