| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 93 === Investor’s emotion and misunderstanding to information some times cause stock price to over-react or under react. The misunderstanding is the source of the noises in the market. This article will construct invest strategies and combine noises in the market and investors’ emotion to discuss the inertia due to the under-reaction, then we check if it could be observed from the parameters of noises and Market sentiment indicators.
This article uses the construction of Momentum Strategy, winner’s strategy, loser’s strategy and considers the proportion of noise in the market, the Market sentiment indicators to understand the relationship between different strategies. The evidence shows that momentum strategy based on historical stock price will create extra positive returns. Moreover, we also find that invest strategies would influenced by the noises. The momentum strategy is affected deeply by Market sentiment indicators, but the winner’s strategy and loser’s strategy are not.
Different strategy under different parameter shows different effects. Besides, in Taiwan stock market larger volume means more noise, but foreign invest institutions trade less when there becomes more noises in the market. It means the hotter is the market, the more becomes the noises. Foreign institution investors value the stock price rationally, reduce the noises and let the price match how much it ought to be.
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