| Summary: | 碩士 === 國立暨南國際大學 === 經濟學系 === 99 === This study discuss the present returns impact of former and present sentiment on large-cap
stocks, small-cap stocks, speculative stock, blue-chip stock, electronics stocks, financial
stocks and conventional stocks by Taiwan 50 index stocks. And whether the sentiment
changes under the period of bull and bear market. The empirical results show that no
matter what kind of stocks' sentiment index, them showed positive relation to present
returns. And it also showed positive relation to the next returns. This points out that in the
short-term, the optimistic （ pessimistic ） emotion of investors will push up （ pull
down）the future stocks returns. The conclusion is different from other empirical results.
During the period of bull and bear market, compare to the period of bull market, when
large-cap stocks （small-cap stocks） is under the period of bear market （bull market）,
it is much to be influenced by sentiment index. This reveals that when investors are under
the impact of pessimistic emotion during the period of bear market, they are uncertain
toward the future stock prices. Therefore they tend to choose Large-cap stocks as their
long-term investment targets. When it comes to the period of bull market, however, due to
the explosive interests of the small-cap stocks, investors turn to choose Large-cap stocks
optimistically instead of small-cap stocks.
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