The Impact of Investor Sentiment on Size Effect: Evidence from the Taiwan Stock Market

• Main Authors: Fang-Yu Chiang, 江芳瑜
• Other Authors: 陳皆碩
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/85241531980552132249

碩士 === 國立彰化師範大學 === 會計學系 === 101 === 　　The main purposes of this research are examining whether a factor of investors’ irrational decision influences a size effect in the Taiwan stock market. This study includes listed and delisting companies from 2001 to 2012, which covered 144 months, in the Taiwan Stock Exchange Corporation as the sample, and chooses monthly return data. This research also uses the Consumer Confidence Index (CCI) calculated by the Research Center for Taiwan Economic Development in the National Central University as a proxy of investor sentiment, and adopts the cross-sectional regression proposed by Fama and MacBeth (1973) and the Jensen alpha to test the model. The empirical results show that a size effect does exist in the Taiwan stock market, and is particularly significant in January which verifies a seasonal phenomenon can significantly affect a size effect. This research also finds that when investors’ are in high spirit, there is a more significant size effect, which means there is a significant relationship between investor sentiment and a size effect.