The relationship between investment sentiment index and stock price return

• Main Authors: Nai-Cheng Chang, 鄭乃誠
• Other Authors: Chwan-Yi Chiang
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/00528552633847971813

碩士 === 國立成功大學 === 企業管理學系碩博士班 === 92 === 　　This study empirically examines the impact of investiment sentiment index on the volatilities of Taiwan stock returns. Most previous studies about investment sentiment concentrated on the influence of stock returns. Very little attention is paid to the relationship between the investment sentiment and the volatilities of stock returns. The selection of investiment sentiment index is according to the model developed by Brown and Cliff (2004) and the situation of Taiwan stock market. The period covered in this study is from January 2000 to November 2003. This study uses the method of univariate GARCH(1,1) to examine whether the investment sentiment index in different period will affect the volatility of the stock return and the affect level, and uses the method of VAR to examine whether the volatilities of investment sentiment variables will affect the volatilities of the stock return. 　　The empirical results of univariate GARCH(1,1) show that neither the day investment sentiment variables nor the the minute investment sentiment variables in different periods have significant impact on the sotck returns. The VAR empirical results indicate that the volatilities of volume have significant impact on the volatilities of sotck return and is the main factor to increase or decrese the the volatilities of the stock return. And in the aspect of the volatilities of sotck return influencing on the volatilities of investment sentiment variables, the empirical results indicate that the influence of the volatilities of sotck return on the volatilities of the margin trading has positive effect on the lagged one day, and negative effect on the lagged two days. Because the margin trading behavior is belong to the noise traders in Taiwan, the empirical result shows that the noise traders are more sensitive to the volatilities of sotck returns than the institutional investors.