| Summary: | 碩士 === 國立勤益科技大學 === 工業工程與管理系 === 98 === The consumer sentiment index is one of the measures of consumer sentiments used in the literature. This study uses Taiwan Consumer Confidence Index (TCCI) and Opportunity of Future Half-year Investment Stock (OFHIS) to analyze the effect of market sentiment indicators for the Taiwan stock exchange. This study examines how the correlation between movements in the TCCI (or OFHIS) and stock returns changes with two stock market conditions – the direction and volatility of the market. Finally, this study tests the relationship between sentiment indicators and market size.
Our empirical results are that: First, we find that positive market returns and sentiment indicators have significant relationships; secondly, when the market is positive direction and high volatility, the β2 (return of stock index) is statistically significant for TCCI and OFHIS; finally, there is a positive and statistically significant relationship between sentiment index and small cap stock returns. Therefore, investors can use TCCI and OFHIS to select the best investment strategy in Taiwan stock market.
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