放空限制對投資人情緒與股價報酬及波動關係之影響- 以41 國股市為例

Abstract

本文以SUR 模型探討16 個無放空國家及25 個有放空國家、總共41 個國家中，放空限制對投資人情緒與報酬、報酬波動的關係之影響。實證結果發現過去報酬對投資人情緒之影響多為正向，且有放空國家中報酬對投資人情緒的正向預測性略強於無放空國家；過去投資人情緒對當期報酬的影響方向並不明確，但有放空國家中投資人情緒對報酬具負向預測關係比例較無放空國家高；過去報酬波動性對當期投資人情緒可能有負向的預期能力，而有放空國家的報酬波動性對當期投資人情緒負向的預期能力較無放空國家更強；過去投資人情緒對當期的報酬波動可能有負向的預測能力，無放空國家的情緒對波動之負向影響較有放空國家強。 進一步加入多空頭因素，實證結果顯示，報酬對投資人情緒的正向影響在空頭時期較為明顯，其中又以在無放空國家中較為明顯；投資人情緒對報酬之影響在多頭時期較多為負向，而在空頭時期則較多為正向，且多頭時期無放空國家有較高比例具此負向影響，空頭時期則是有放空國家有較高比例具此正向影響；波動對投資人情緒具有負向之預測能力在空頭時期的比例較高，其中又以在有放空國家中較為明顯；過去投資人情緒對當期的報酬波動的負向影響在空頭時期較明 顯，且空頭時無放空國家此負向預測能力較強。

This study examines by SUR model the impact of short-sale constraints on the relationship of investor sentiment, stock return and the volatility of stock return in a total number of 41 countries constituted of 16 countries with short-sale constraints and 25 countries without short-sale constraints. The results suggest that first, impact of past returns on investor sentiment is mostly positive, which is stronger in countries with short-sale constraints; second, there is no particular direction for the impact of past investor sentiment on stock returns, but there is a higher percentage of countries in the group without short-sale constraints feature the negative impact of investor sentiment on stock returns; third, the impact of past volatility on investor sentiment is mostly negative, and there is a higher percentage of countries in the group without short-sale constraints feature the negative impact of the volatility of stock returns on investor sentiment; forth, the impact of past investor sentiment on volatility of stock return is more likely to be negative, and this impact is stronger in countries with short-sale constraints. Considering the effect of bull or bear market, the results indicate that, first, the positive impact of returns on investor sentiment is stronger in bear market for countries with short-sale constraint; second, the impact of investor sentiment is more likely to be negative in bull market, which is stronger in countries with short-sale constraints, and is more likely to be positive in bear market, which is stronger in countries without short-sale constraints; third, the negative impact of volatility on investor sentiment is stronger in bear market in countries without short-sale constraints; forth, the negative impact of investor sentiment on volatility is stronger in bear market.