Investor Sentiment and Mean-Variance Relation: Evidence from Taiwan Stock Market

• Main Author: 吳茹蘋
• Other Authors: 周冠男
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/43457747530242832411

碩士 === 國立政治大學 === 財務管理研究所 === 103 === This paper constructs investor sentiment index for Taiwan stock market and examines the effects of investor sentiment on the mean-variance relation of Taiwan stock market. Behind the well-known ambiguous relation between the mean and variance, we find that the stock market’s expected excess return is positively related to the market’s conditional variance in the low sentiment periods, but unrelated to variance during the high sentiment periods.