投資人情緒變化之量測及其影響股價報酬之研究

Abstract

本文主要探討股票報酬率如何受到投資人情緒變化而改變。本文以計量心理學的構念量測標準，檢測各種市場情緒指標，並發現成交股數週轉率、成交值週轉率及成交筆數週轉率等三種市場活動指標，符合信、效度要求，可用來測量投資人情緒變化，股價面值比與放空週轉率等二項指標，則不適合作為投資人情緒變化的代理變數。本文實證結果發現，「投資人情緒變化對股票報酬率的影響」會因為「樂觀或悲觀情緒」、「個股股性」及「套利機制的限制」而有所不同，並發現2008年全球金融海嘯期間，政府市場安定基金介入股市，能有效消除投資人恐慌對股票價格的衝擊。除此之外，本文也就套利機制的有效性、情緒驅動的錯誤定價、瞬間價格穩定措施等市場干預機制等議題進行討論。

This study examines how the change in investor sentiment (IS) over time (the IS trend) affects stock returns. The turnover rates of trading shares, trading value, and transactions, three market measures of trading activity, have been demonstrated to meet the psychometric criteria for measuring the IS level and trend. The market price to book value ratio and the short-selling turnover ratio are inappropriate proxies. The empirical results indicate that the influence of the IS trend on returns depends on change direction and the stock character- ristics of individual holdings and arbitrage constraint. In addition, this study finds that government stabilization funds could diminish the influence of investors’ panic on returns during the global financial crisis in 2008. The effectiveness of arbitrage, sentiment-driven mispricing, and market intervention (e.g. the circuit breakers) are discussed.