| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 97 === ABSTRACT
In Taiwan stock market, individual investors’ sentiments are usually more easily affected by the market’s atmosphere. Therefore, we want to know that if investors could get better returns than the market through comprehend the relationship between investors’ sentiments and returns on TAIEX. This paper selected five variables to construct investor’s sentiment indices. Based on statistical method, the same period of regression model and the next period of regression model with four different experiment days are established to measure the relationship between investor’s sentiment indices and returns on TAIEX. Then, we used the regression models to simulate
investment returns, and reached the following conclusions：
(1) With the increase of experiment days, the standard deviation of return on TAIEX was also
increasing.
(2) The regression model established during the research period can not significantly generate better
returns than the market.
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