The influence of investor sentiment on the risk-reward relation on Taiwan stock market

• Main Authors: Hsu, Shu-Wei, 許書瑋
• Other Authors: Huang, Hung-Hsi
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/10732853942766312406

碩士 === 國立嘉義大學 === 企業管理學系 === 100 === This study investigates the influence of investor sentiment on the risk-reward tradeoff relationship, using the Taiwan Weighted Stock Index, counter trading index, electronic index, and eight industry Sectors returns as the sample from January 1, 2001 to December 31, 2011. This study adopts the Business Indicator or Consumer Confidence Index as sentiment proxy, and the variances calculated by rolling window, GARCH-M, and TGARCH-M models as risk measure. The regression results reveal that the reward-risk relationship in the Taiwan stock market is weakly negatively correlated with sentiment during the whole period. Meanwhile, the relationship is positively correlated during low sentiment period while significantly negatively correlated during high sentiment period. Additionally, the Granger causality tests demonstrate the unidirectional causality relationships, including stock return leads investor sentiment and volatility of stocks, and investor sentiment leads most stocks volatilities.