臺灣股市投資人情緒持續反應與股票報酬關係之研究

The Relationship of Investor's Sentiment Persistence Degree and Stock Reward in the Taiwan Stock Market

10.6797/LTARGE.200808.0121

葉智丞(Chih-Cheng Yeh)；朱靜眉(Ching-Mei Chu)；李春安(Chun-An Li)

投資人情緒 ； 市場週轉率 ； investor's sentiment ； turnover

嶺東通識教育研究學刊

2卷4期（2008 / 08 / 01）

121 - 142

繁體中文

過去對投資人情緒與股價報酬的相關研究，大多僅直接探討投資人情緒指標對股價報酬的影響，少有將投資人情緒的持續程度變化列入主題，本文旨在探討投資人情緒的持續程度變化與未來股價報酬的動態關係。發現兩者明顯呈一曲線關係，當股價上漲初期時，投資人高情緒的持續程度變化，與未來股價報酬呈正向關係，中期沒有相關性，末期則呈負向關係；當股價下跌初期或中期時，投資人低情緒的持續程度變化，與股價報酬並未呈相關性，末期則呈正向關係。同時，高低情緒投資策略應用在台灣股票市場存在異常報酬，不論多頭或空頭時期，採賣出以市值加權所計算的高情緒投資組合策略，將有顯著超額正報酬；而採買進均等加權的低情緒投資組合策略，有顯著超額正報酬。

This study focused the dynamic relationship in the investor's sentiment persistence degree and stock reward. We find the curve relationship in each other. When initial stage in the stock price up, they show positive correlation. Mid - term stage in the stock price up, they show no correlation. And final stage in the stock price up, they show negative correlation. When initial and mid stage in the stock price down, they show no correlation. Final stage in the stock price down, they show positive correlation. In addition, sentiment strategy can be received profit in the Taiwan stock. When sell portfolio of high sentiment strategy or buy portfolio of low sentiment strategy, we have manifested positive surplus.

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