题名

Google搜尋量指數對臺灣股票報酬與成交量之影響

并列篇名

Google Search Volume Index and Its Effects on Stock Return and Trading Volume of Taiwan Stock Market

DOI

10.29416/JMS.201710_24(4).0004

作者

李永隆(Yeong-Long Li)；杜玉振(Yu-Chen Tu)；王瑋瑄(Wei-Hsuan Wang)

关键词

行為財務學 ； Google ； 搜尋量指數 ； 股價報酬 ； 股票成交量 ； Behavioral Finance ； Google ； Search Volume Index (SVI) ； Stock Return ； Stock Trading Volume

期刊名称

管理與系統

卷期/出版年月

24卷4期（2017 / 10 / 01）

页次

565 - 590

内容语文

繁體中文
中文摘要

本文旨在探討投資人注意力對股票報酬與成交量之影響；以Google 搜尋量指數 (SVI)為注意力之代理變數，經篩選臺灣中型100 指數成分股中56 家公司於2008-2015 期間之相關資料為研究樣本，透過追蹤資料 (panel data) 迴歸模型進行分析。經實證發現：(1)不論短期或長期，SVI 與股價報酬或股票成交量在大多時期均呈現顯著正相關；(2) SVI 與股價報酬之正相關程度，表現在低市值公司的強度大於高市值公司，支持Da et al. (2011) 的「規模效應」；(3)當投資人情緒處於相對高潮或低潮時，SVI 對股價報酬或股票成交量均有顯著的「情緒效應」影響。
英文摘要

This study examines the relationship between online search intensity and stock-trading behavior in Taiwan stock market. The search intensity measured by the search volume index (SVI) of company names on Google. Our sample consists of fifty-six stocks of Taiwan Mid-Cap 100 Index from 2008 to 2015. The empirical results are as follows. First, SVI are positively correlated with both stock returns and trading volumes in most periods of the short-term and the long-term. Second, that positive correlation between SVI and stock returns is greater for small stocks than for large stocks supports the size effect of Da et al. (2011). Third, SVI have significant sentiment effects on both stock returns and trading volumes when investors’ sentiment is relatively high or low.
主题分类 基礎與應用科學 > 統計
社會科學 > 財金及會計學
社會科學 > 管理學
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被引用次数
  1. 陳逸郎,林麗鳳(2020)。總體經濟因素與旅遊搜尋對來臺灣旅遊需求之探討。觀光休閒學報，26(1)，97-122。
  2. 魏裕珍,洪慧玲,洪敬傑(2022)。共同基金的媒體聲譽對其績效表現之影響。證券市場發展季刊，34(3)，115-163。
  3. 蕭名欽,邱彥毅(2020)。董事政治連結及其受關注程度與公司避稅之關聯性。當代會計，21(2)，185-218。
  4. 楊茜文,陳明吉,呂少毫,朱芳妮(2022)。房市參與者之關注會影響房價嗎？。管理與系統，29(4)，495-523。
  5. 張維碩(2021)。COVID-19期間台灣防疫相關個股行情影響因素之探討。管理資訊計算，10(特刊1)，107-116。
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