臺灣投資人非理性情緒與加權股價指數報酬之關聯

Abstract

為了解臺灣投資人情緒的「非理性」部分對於資產報酬率的影響，本文選用臺灣加權股價指數的現貨及衍生性商品交易指標，排除景氣循環因子的影響，作為投資人非理性情緒的代理變數，據以建立迴歸模型，分析與臺灣加權股價指數報酬率之間的關聯。實證結果顯示，以臺股融資變動率及融券變動率作為衡量投資人非理性情緒的代理變數時，與臺股報酬率之具有統計上顯著的關聯性。

This study used trading indicators of TAIEX spot, futures and options volatility that exclude the “rational part” as sentiment proxies, to investigate the relationship between irrational sentiment proxies and the TAIEX daily returns. The empirical results indicate that the irrational parts of rate of change in margin purchasing balance and rate of change in short selling balance have statistically significant correlation with returns on TAIEX.