本文旨在於探討市場情緒指標對股價報酬波動之影響。過去對情緒指標的相關研究，大多僅探討情緒指標對報酬的影響，少有將股價報酬波動列入探討的主題。故本文應用Brown and Cliff (2004)所發展的情緒指標架構，並考量台股現狀後，選取適當的情緒指標，並以台股2000年1月5日至2003年11月5日為樣本期間，將日情緒指標及日內情緒指標放入不同的多空期間，並採用單變量GARCH來研究各市場情緒指標對股價報酬波動的影響，並藉由向量自我迴歸模型中的因果關係檢定，來探討各情緒指標波動性與股價報酬波動性在不同期間及頻率下之領先落後關係。
　　研究結果發現，就單變量GARCH模型實證結果而言：本研究發現各市場情緒指標不管是日資料或日內資料，在多空時期及一般時期對股價報酬波動的影響並不顯著，也就是台灣市場的各情緒指標在多空轉換期間與一般期間對股價波動並無太大影響力。就向量自我迴歸模型中的因果關係檢定結果來看，市場日成交量差異的波動在前三天之內比其他市場情緒指標波動更能影響股市報酬的波動，這似乎也顯示了股市的量能確實有助漲助跌的作用存在。而在股市報酬波動性對市場情緒指標波動性的影響方面，本研究可以發現股價波動對融資金額差異波動的影響為，前一天的股價波動對融資金額差異波動有負向的影響，而前二天的股價波動對融資金額差異波動則有正向效果存在，這似乎顯示代表散戶心態的融資金額差異的增減波動是與前二天的股價報酬波動有同向關係存在，這現象亦表示台灣股市散戶的情緒比法人機構更易受到大盤波動所影響。

　　This study empirically examines the impact of investiment sentiment index on the volatilities of Taiwan stock returns. Most previous studies about investment sentiment concentrated on the influence of stock returns. Very little attention is paid to the relationship between the investment sentiment and the volatilities of stock returns. The selection of investiment sentiment index is according to the model developed by Brown and Cliff (2004) and the situation of Taiwan stock market. The period covered in this study is from January 2000 to November 2003. This study uses the method of univariate GARCH(1,1) to examine whether the investment sentiment index in different period will affect the volatility of the stock return and the affect level, and uses the method of VAR to examine whether the volatilities of investment sentiment variables will affect the volatilities of the stock return.
　　The empirical results of univariate GARCH(1,1) show that neither the day investment sentiment variables nor the the minute investment sentiment variables in different periods have significant impact on the sotck returns. The VAR empirical results indicate that the volatilities of volume have significant impact on the volatilities of sotck return and is the main factor to increase or decrese the the volatilities of the stock return. And in the aspect of the volatilities of sotck return influencing on the volatilities of investment sentiment variables, the empirical results indicate that the influence of the volatilities of sotck return on the volatilities of the margin trading has positive effect on the lagged one day, and negative effect on the lagged two days. Because the margin trading behavior is belong to the noise traders in Taiwan, the empirical result shows that the noise traders are more sensitive to the volatilities of sotck returns than the institutional investors.

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5.陳英生，台灣股市日內報酬波動之研究，國立成功大學國際企業研究所未出版碩士論文，民國88年6月

6.陳達勳，市場情緒與股票報酬之研究，國立政治大學國際貿易學系研究所未出版碩士論文，民國89年6月

7.黃嘉慧，台灣股票市場除權行情資訊過度反應現象之行為財務學實證研究，朝陽科技大學財務金融系研究所未出版碩士論文，民國90年6月

8.楊大龍，台灣上市與上櫃股票市場其股價報酬波動性外溢效果之實證研究， 淡江大學管理科學學系研究所未出版碩士論文，民國90年6月

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11.王湘盈，從眾行為之個人影響因素及其決策過程分析，國立東華大學國際經濟研究所未出版碩士論文，民國91年6月

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