题名

The Impact of Foreign Investor Sentiment on Taiwan's Stock and Futures Markets

并列篇名

外資投資情緒對臺灣期、現貨市場之影響

DOI

10.6545/JFS.201903_27(1).0004

作者

蕭榮烈(Jung-Lieh Hsiao)；林靖(Arthur C.H. Lin)；王如琦(Christine Wang)；何靜嫺(Shirley J. Ho)

关键词

Market-adjusted relative turnover ； foreign investor sentiment index ； cash-futures market correlation ； 市場調整的相對周轉率 ； 外資情緒指標 ； 期現貨市場相關性

期刊名称

財務金融學刊

卷期/出版年月

27卷1期（2019 / 03 / 31）

页次

105 - 158

内容语文

英文
中文摘要

By utilizing the market-adjusted relative turnover to filter out the macroeconomic impacts, we construct ＂foreign investor sentiment index＂ in Taiwan and analyze how excess returns, volatility, and cash-futures market correlation are affected by this index. Our results show that foreign investor sentiment has a positive effect on excess returns and cash-futures market correlation, but has a negative impact on volatility. Moreover, both foreign investor sentiment index and net inward remittance of foreign investor (NIRFI) have a good prediction power in cash market's excess returns.
英文摘要

本文運用市場調整的相對周轉率並建立臺灣的「外資情緒指標」，探究其對臺灣期現貨市場之影響。主要發現為外資情緒對市場超額報酬率及期現貨市場相關性有正向影響，但對於市場波動性則有負向效果。再者，外資情緒指標及外資淨匯入金額對現貨市場超額報酬率有良好的預測績效。
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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