题名

The Impact of Investor Sentiment on Excess Returns: A Taiwan Stock Market Case

DOI

10.6186/IJIMS.2010.21.1.2

作者

Wu-Jen Chuang；Liang-Yuh Ouyang；Wen-Chen Lo

关键词

Trading Volume ； Investor Sentiment ； Excess Returns

期刊名称

International Journal of Information and Management Sciences

卷期/出版年月

21：1（2010 / 03 / 01）

页次

13 - 28

内容语文

英文
英文摘要

In this paper, we use a proxy for investor sentiment and employ a generalized autore-gressive conditional heteroskedasticity in mean (GARCH-M) model to show the impact of investor sentiment on excess returns in Taiwan stock market. Firstly, the evidences suggest that the change in trading volume is a suitable proxy for investor sentiment. Furthermore, the conditional volatility and excess returns have a negative and significant relationship. We argue that the irrational sentiment has influence on stock valuations.
主题分类 基礎與應用科學 > 資訊科學
社會科學 > 管理學
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