| Summary: | 碩士 === 國立中興大學 === 應用數學系所 === 95 === The return is very complicated and hard to predict in the financial market. This
article uses common technical analysis-momentum, trend line, relative strength index,
moving average and some sentiment indicators -volatility index, put call ratio of open interest, put call ratio of volume to be variables of regression model. Moreover,
we apply reality check (White, 2000), test for superior predictive ability (Hansen, 2005) and stepwise regression to select useful variables. We hope to find useful
variables and provide more correct infromation in the financial markets. Sentiment indicators are useful in this article.
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