| Summary: | 碩士 === 國立臺北商業大學 === 財務金融研究所 === 105 === This paper studies investor sentiment (IS) in the Taiwan stock market from the two angles which are the influence of the bear/bull market over IS and the impact of IS upon stock returns. Moreover, there is further discussion about the sentiment as an intermediary variable in the process of implementing monetary policy. The research uses the GARCH model to explore the relation between of IS and stock returns, and it takes the expected investment timing (CI), the turnover rate (TUR) and the implied volatility index (VIX) as the proxies of IS. In addition, the interrelationship between stock returns and the proxies is statistically researched through the VECM model.
The sample period covers from January 2007 to June 2016, and the statistical variables include Taiwan Weighted Stock Exchange Index (TWSE), one-year fixed deposit rates in Taiwan and Taiwan's 10-year government bond yields. The result shows that CI and stock returns are positively correlated when CI represents for investor sentiment. Furthermore, VIX and TUR significantly influence on stock return while implementing monetary policy. Therefore, they are proper intermediary variables.
To sum up, the three proxies, CI, TUR, and VIX, are essential considerations for stock investment.
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