台股情緒指標與超額報酬

Generating Excess Returns Using Sentiment Indicators in the Taiwan Stock Market

10.6734/JSDMS.201210_4(2).0004

駱武昌(Wu-Chang Luo)；婁天威(Tien-Wei Lou)；郭以彤(Yi-Tong Kuo)

情緒指標 ； 事件研究法 ； 市場預期報酬率模式 ； Sentiment Indicators ； Event Study ； Expected Returns of Model

永續發展與管理策略

4卷2期（2012 / 10 / 01）

55 - 75

繁體中文

能否利用投資人情緒的變化在股市中賺取超額報酬是本文的研究主題。本研究以賣買權成交量比、賣買權未平倉量比、週轉率、融資餘額、融券餘額以及VIX指數等情緒指標代表投資人的情緒變化，並取情緒指標前後百分之十的極高值和極低值為情緒值，試圖探討當情緒值達極端值時，對市場是否代表超賣或超買。樣本期間為2004年1月2日至2011年6月30日，以多重情緒值所發出的訊號為事件日，再以事件研究法檢定事件日前與事件日後是否有異常報酬。本文同時以有母數檢定（普通橫剖面法）與無母數檢定（Wilcoxon符號順序檢定）兩種檢定法檢定平均異常報酬率，以增加結論上的穩定性。檢定結果發現，兩種檢定皆顯示事件日前與事件日後的平均市場報酬率有顯著的異常現象，代表情緒指標對股市後市表現具有一定預測能力並有機會賺取超額的報酬。

The research tries to employ sentiment indicators to figure out the possibility of earning abnormal returns in the Taiwan stock market. These indicators used here are the put-call volume ratio, the put-call open interest ratio, the turnover rate, the margin loan balance, the short balance, and the VIX. The highest 10% and the lowest 10% values of each index are considered as the extreme values which represent the stock market might be overbought or oversold. The events generated from the extreme values are used to examine whether there are abnormal returns after the events. The sample period was from January 2, 2004 to June 30, 2011 and the research method is the event studies using both parametric and nonparametric tests. The empirical results show that both tests indicate the average market returns after events are significantly different from those before the events. Therefore, the sentiment indicators may have some ability to predict the stock market and generate excess returns.

1. 黃筠珺(2018)。流動性與VIX指數對股市動能策略市場之研究。中原大學財務金融學系學位論文。2018。1-72。