The Effect of Investment Sentiment on the Semiconductor Stock Return in Taiwan：An Application of Panel Smooth Transition Regression Model

• Main Authors: Su-Fang Yeh, 葉素芳
• Other Authors: Hsiao-Yen Liu
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/ch2sx5

碩士 === 中原大學 === 國際經營與貿易研究所 === 102 === This thesis rewrites the three-factor model, developed by Fama and French (1993), as a panel smooth transition regression framework, and uses the volatility index (VIX) and credit default swap (CDS) as the transition variables in the framework, to evaluate the nonlinear path of stock returns and three time-varying risk premiums. Sample period spans from 2005:M1 to 2013:M6. Sample objects are 60 semiconductor companies listed on Taiwan Security Exchange Corporation. The empirical results can be summarized as follows: 1. The stock returns of semiconductor companies display a nonlinear path, depending on the changes of the VIX and CDS in each period. 2. For the PSTR model with VIX as the transition variable, the market premium of stock returns is positive and decreases with the increase in VIX; the size premium of stock returns is positive and increases with the increase in VIX, and the value premium of stock returns is negative and decreases with the increase in VIX. Thus, the three risk premiums are time-varying, not constant obtained from the traditional three-factor model. 3. For the PSTR model with CDS as the transition variable, the market premium of stock returns is positive and decreases with the increase in CDS; the size premium of stock returns is positive and decreases with the increase in CDS, and the value premium of stock returns is negative and decreases with the increase in CDS. Again, the three risk premiums are time-varying, not constant obtained from the traditional three-factor model.