The Relationship between Investors Sentiments and Stock Returns
碩士 === 大葉大學 === 國際企業管理學系碩士班 === 105 === The study is investigate the relationship between investors sentiments and stock returns of Taiwan stock market. We study four proxies for investors sentiments, including TXO put/call volume ratio, short selling/margin ratio, buy/sell of foreign investors an...
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2017
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| Online Access: | http://ndltd.ncl.edu.tw/handle/62ewwp |
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ndltd-TW-105DYU003210032018-06-25T06:15:08Z http://ndltd.ncl.edu.tw/handle/62ewwp The Relationship between Investors Sentiments and Stock Returns 投資人情緒與股票報酬率之關聯性 HAUNG, PEI-I 黃佩儀 碩士 大葉大學 國際企業管理學系碩士班 105 The study is investigate the relationship between investors sentiments and stock returns of Taiwan stock market. We study four proxies for investors sentiments, including TXO put/call volume ratio, short selling/margin ratio, buy/sell of foreign investors and market turnover. The sample period is January 2008 to August 2016. We test the effect of investors sentiments and stock returns with ADF Unit Root Test, Principal Components Analysis, Granger Causality Test and Multiple Regression Analysis. The empirical results show that the stock returns granger cause investors sentiments. We also find that investors sentiments has a positive correlation with returns at the same period. LIN, XIAO-FENG HUNG, CHAO-YANG 林筱鳳 洪朝陽 2017 學位論文 ; thesis 54 zh-TW |
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NDLTD |
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zh-TW |
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Others
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NDLTD |
| description |
碩士 === 大葉大學 === 國際企業管理學系碩士班 === 105 === The study is investigate the relationship between investors sentiments and stock returns of Taiwan stock market. We study four proxies for investors sentiments, including TXO put/call volume ratio, short selling/margin ratio, buy/sell of foreign investors and market turnover. The sample period is January 2008 to August 2016. We test the effect of investors sentiments and stock returns with ADF Unit Root Test, Principal Components Analysis, Granger Causality Test and Multiple Regression Analysis.
The empirical results show that the stock returns granger cause investors sentiments. We also find that investors sentiments has a positive correlation with returns at the same period.
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| author2 |
LIN, XIAO-FENG |
| author_facet |
LIN, XIAO-FENG HAUNG, PEI-I 黃佩儀 |
| author |
HAUNG, PEI-I 黃佩儀 |
| spellingShingle |
HAUNG, PEI-I 黃佩儀 The Relationship between Investors Sentiments and Stock Returns |
| author_sort |
HAUNG, PEI-I |
| title |
The Relationship between Investors Sentiments and Stock Returns |
| title_short |
The Relationship between Investors Sentiments and Stock Returns |
| title_full |
The Relationship between Investors Sentiments and Stock Returns |
| title_fullStr |
The Relationship between Investors Sentiments and Stock Returns |
| title_full_unstemmed |
The Relationship between Investors Sentiments and Stock Returns |
| title_sort |
relationship between investors sentiments and stock returns |
| publishDate |
2017 |
| url |
http://ndltd.ncl.edu.tw/handle/62ewwp |
| work_keys_str_mv |
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