簡易檢索 / 詳目顯示

回結果列表
研究生： 傅琡婷
Fu, Shu-Ting
論文名稱： 跨國投資人情緒外溢傳導與市場報酬動態關係之研究
A Study of the Dynamic Relations between International Investor Sentiment and Market Returns
指導教授： 顏盟峯
Yen, Meng-Feng
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融研究所
Graduate Institute of Finance
論文出版年： 2011
畢業學年度： 99
語文別： 英文
論文頁數： 47
中文關鍵詞： 投資人情緒 、報酬 、外溢效果 、波動 、動態 、不對稱
外文關鍵詞： Investor sentiment, Returns, Spillover effect, Volatility, Dynamic, Asymmetric
相關次數： 點閱：130  下載：1 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 本研究以波動率指數（恐慌指數）作為衡量市場情緒之代理變數，並藉由主成份分析建構全球型、區域型及地方型情緒因子，以針對日本、香港、台灣與韓國探討投資人情緒跨國傳導現象。在不對稱動態條件相關係數－雙變量GARCH的模型架構下，本文同時探究股市報酬及投資者情緒隨時間改變的雙向動態關係。研究期間由2003年1月7日至2011年2月15日，本文發現四亞洲市場的當地投資人情緒普遍受區域性情緒影響，而全球性投資人情緒對於多數亞洲國家報酬表現則具有決定性的影響力；此外，市場參與者情緒變化及現貨市場報酬互為預測彼此動態發展的有效指標。在本文樣本期間，情緒與市場報酬波動兩者間呈現負相關；然而，當市場恐慌情緒增加及股價指數報酬降低，投資人情緒與股票報酬間的動態關係並未顯著上揚。

    Applying the volatility index as sentiment proxy, we construct global, regional and local sentiment factors with principal component analysis and examine international sentiment transmission effects for Japan, Hong Kong, Taiwan and Korea. Based on the asymmetric dynamic conditional correlation (ADCC-MGARCH) structure, the paper investigates time-varying interrelationship between stock returns and market sentiment. The research period covers from January 7, 2003 to February 15, 2011. We find that local investor sentiment of the four countries is affected commonly by regional investor mood. Global sentiment is the dominant factor for return performances of most Asian countries. Sentiment of market participants and stock returns are effective predictors for each other. During our sample period, we also observe the contrarian relations between volatilities of sentiment and returns. However, the dynamic correlations between stock returns and investor sentiment do not significantly increase when market fear rises and decline of returns occur.

    Contents 1. Introduction 1 2. Literature Review 7 2.1 Relevant Sentiment Measures 7 2.2 Sentiment-Return Relation 8 2.3 International Spread of Sentiment 10 3. Methodology and Model Specification 13 3.1 Principal Component Analysis (PCA) 13 3.2 The Dynamic Conditional Correlation (DCC) Model 14 3.3 The Asymmetric Dynamic Conditional Correlation (A-DCC) Model 17 3.4 The Empirical Models 18 4. Empirical Results 24 4.1 Data 24 4.2 Global and Regional Sentiment 25 4.3 Summary Statistics 28 4.4 The Empirical Findings 31 5. Conclusion 40 References 42 Appendix: Conditional mean and conditional variance equations 46 List of Tables Table 1: Correlation coefficients 26 Table 2: Principal component analysis for global sentiment 27 Table 3: Principal component analysis for regional sentiment 27 Table 4: Augmented Dickey-Fuller Unit Root Tests 28 Table 5: Summary statistics for variables 30 Table 6: Estimates of investor sentiment spillover on market returns 33 Table 7: Estimates of international sentiment transmission 35 Table 8: Estimates of (G)ARCH effect for market returns and sentiment 36 Table 9-1: Volatility spillover effects of investor sentiment on market returns 38 Table 9-2: Volatility spillover effects of market returns on investor sentiment 38 Table 10: Estimated covariance parameters for returns and sentiment 39

    Baker, M. and J. C. Stein, 2004, “Market liquidity as a sentiment indicator,” Journal of Financial Markets 7(3), 271–299.
    Baker, M. and J. Wurgler, 2006, “Investor Sentiment and the Cross-Section of Stock Returns,” The Journal of Finance 61(4), 1645-1680.
    Baker, M. and J. Wurgler, 2007, “Investor Sentiment in the Stock Market,” Journal of Economic Perspectives 21(2), 129-151.
    Baker, M., J. Wurgler and Y. Yuan, 2010, “Global, Local, and Contagious Investor Sentiment,” Working Paper, AFA 2010 Atlanta Meetings Paper.
    Barber, B. M., T. Odean and N. Zhu, 2009, “Systematic noise,” Journal of Financial Markets 12(4), 547-569.
    Bekaert, G. and C. R. Harvey, 1997, “Emerging Equity Market Volatility,” Journal of Financial Economics 43, 29-77.
    Bekaert, G., C. R. Harvey and A. Ng, 2005, “Market Integration and Contagion,” Journal of Business 78(1), 39-70.
    Berndt, E. K., B. H. Hall, R. E. Hall, and J. A. Hausman, 1974, “Estimation and Inference in Non-linear Structural Models,” Annals of Economic and Social Measurement 3(4), 653-665.
    Black, F., 1986, “Noise,”The Journal of finance 41(3), 529-543.
    Bollerslev, T., 1990, “Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model,” The Review of Economics and Statistics 72(3), 498-505.
    Brown, G. W. and M. T. Cliff, 2004, “Investor sentiment and the near-term stock market,” Journal of Empirical Finance 11(1), 1 –27.
    Cappiello, L., R. F. Engle and K. Sheppard, 2006, “Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns,” Journal of Financial Econometrics 4(4), 537–572.
    Chang, C., R. W. Faff and C. Y. Hwang, 2009, “Sentiment Contagion, Corporate Governance, Information and Legal Environments,” Working Paper, Massey University, University of Queensland and Nanyang Technological University (NTU).
    Chen, C. H. and A. H. Tu, 2010, “Does Fear Spillover?,” Working Paper.
    Chiang, T. C., B. N. Jeon and H. Li, 2007, “Dynamic correlation analysis of financial contagion: Evidence from Asian markets,” Journal of International Money and Finance 26(7), 1206-1228.
    Chuang, W. I., B. S. Lee and K. L. Wang, 2010, “International Transmission of Investors’ Overconfident Trading Behavior,” Working Paper.
    De Long, J.B., A. Shleifer, L. H. Summers, R. J. Waldmann, 1990, “Noise Trader Risk in Financial Markets,” The Journal of Political Economy 98(4), 703-738.
    Edmans, A., D. García and Ø. Norli, 2007, “Sports Sentiment and Stock Returns,” The Journal of Finance 62(4), 1967-1998.
    Engle, R., 2002, “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models,” Journal of Business & Economic Statistics 20(3), 339-350.
    Eun, C. S. and S. Shim, 1989, “International Transmission of Stock Market Movements,” Journal of Financial and Quantitative Analysis 24(2), 241-256.
    Fama, E. F., 1970, “Efficient capital markets: A review of theory and empirical work,” The Journal of Finance 25(2), 383-417.
    Feng, L. and M. S. Seasholes, 2004, “Correlated Trading and Location,” The Journal of Finance 59(5), 2117-2144.
    Hotelling, H., 1933, “Analysis of a complex of statistical variables into principal components,” Journal of Educational Psychology 24(6), 417-441, 498–520.
    Jackson, A., 2003, “The Aggregate Behaviour of Individual Investors,” Working Paper, London Business School.
    Jolliffe, I. T., 2002, “Principal Component Analysis,” second edition, New York: Springer-Verlag.
    Kahneman, D. and A. Tversky, 1979, “Prospect theory: An analysis of decision under risk,” The Econometrica 47(2), 263-292.
    Kaiser, H. F., 1960, “The Application of Electronic Computers to Factor Analysis,” Educational and Psychological Measurement 20(1), 141-151.
    Kumar, A. and C. M.C. Lee, 2006, “Retail Investor Sentiment and Return Comovements,” The Journal of Finance 61(5), 2451-2486.
    Lee, W. Y., C. X. Jiang and D. C. Indro, 2002, “Stock market volatility, excess returns, and the role of investor sentiment,” Journal of Banking & Finance 26(12), 2277-2299.
    Neal, R. and S. M. Wheatley, 1998, “Do Measures of Investor Sentiment Predict Returns?,” The Journal of Financial and Quantitative Analysis 33(4), 523-547.
    Ng, A., 2000, “Volatility spillover effects from Japan and the US to the Pacific–Basin,” Journal of International Money and Finance 19(2), 207–233.
    Pearson, K., 1901, “On lines and planes of closest fit to systems of points in space,” Philosophical Magazine 6(2), 559–572.
    Peltomäki, J., 2009, “Investor Sentiment and Time-Varying Market Risk in Market-Neutral Hedge Funds,” The Journal of Behavioral Finance 10(4), 226-233.
    Qiu, L. and I. Welch, 2006, “Investor Sentiment Measures,” NBER Working Paper.
    Ripley, D. M., 1973, “Systematic Elements in the Linkage of National Stock Market Indices,” The Review of Economics and Statistics 55(3), 356-361.
    Shefrin, H. and M. Statman, 1994, “Behavioral Capital Asset Pricing Theory,” The Journal of Financial and Quantitative Analysis 29(3), 323-349.
    Sheu, H. J. and Y. C. Wei, 2009, “The Spillover Effect of the Volatility Index on Underlying Equity Returns: Evidence from Asian Emerging Markets,” NSC 96-2416-H-009 -020 -MY3.
    Simon, D. P. and R. A. Wiggins III, 2001, “S&P futures returns and contrary sentiment indicators,” Journal of Futures Markets 21(5), 447–462.
    Solt, M. E. and M. Statman, 1988, “How Useful Is the Sentiment Index?,” Financial Analysts Journal 44(5), 45-55.
    Verma R. and G. Soydemir, 2006, “The Impact of U.S. Individual and Institutional Investor Sentiment on Foreign Stock Markets,” The Journal of Behavioral Finance 7(3), 128-144.
    Wang, C., 2001, “Investor Sentiment and Return Predictability in Agricultural Futures Markets,” Journal of Futures Markets 21(10), 929-952.
    Wang, Y. H., A. Keswani and S. J. Taylor, 2006, “The relationships between sentiment, returns and volatility,” International Journal of Forecasting 22(1), 109-123.
    Whaley, R. E., 2000, “The Investor Fear Gauge,” The Journal of Portfolio Management 26(3), 12-17.

    無法下載圖示 校內：2021-12-31公開
    校外：不公開
    電子論文尚未授權公開，紙本請查館藏目錄
    QR CODE