| Summary: | 碩士 === 國立彰化師範大學 === 會計學系 === 101 === This study focuses on investor sentiment for the Taiwan stock market anomalies – January effect, and discusses whether the investor sentiment has a significant impact on January effect. The research sample includes all Taiwan listed firms’ data for the period from 2001 to 2012, and tis study uses the consumer confidence index to measure investor sentiment. Empirical results show that there is January effect in the Taiwan stock market, and then we joined the investor sentiment to discuss the January effect. The results also show that investor sentiment has a positive impact on the January effect, and when the investor sentiment is high, the phenomenon of January effect of Taiwan stock market is also more obvious.In addition we also use the data of stock market property to measure the investor sentiment, and examine the data by Principal Components Analysis. The results also support the above research. In order to test whether the January effect is the revision of bullish or bearish market performance in the preceding December, we participated our data into two sub-samples accordingly. And the results also support the above findings.
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