Taiwan market investors’ sentiment measure from the Internet forum: A Case Study of Taiwan Stock Exchange Capitalization Weighted Stock Index

• Main Authors: Ming-Hsuan Yang, 楊明軒
• Other Authors: 邱昭彰
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/38111336174796645338

碩士 === 元智大學 === 資訊管理學系 === 100 === Retail investor is one of the important investors in the stock market of Taiwan. According to the FSC Securities and Futures Bureau statistics, the total market turnover create by natural person is 62.7% in 2011,Which is accounts for the highest proportion of investment amount in all categories of investors. In the domestic retail investor participation in the high case, the investment behavior received much attention. Based on past literature, investor sentiment will affect investment decisions, and investment decisions affect the stock price performance, So we got to the conclusion that investor sentiment and stock price are related.In this study, we collection stock message board article, through text mining to construct the sentiment indicators to point the trend of taiwan stock exchange capitalization weighted stock index. The experiment shows that our model combines the sentiment indicators and related indicators of stock , it's able to determine the predictive ability of rise to 65.63% accuracy, the predictive ability of fall to 70% accuracy and the overall may achieve 67.74% accuracy. The experiment model combines above two kinds of information can effect to enhance the predictive capability.