The Relationship between investment sentiment index and stock price
碩士 === 國立臺北大學 === 企業管理學系 === 95 === This study empirically examines the impact of investiment sentiment index on the Taiwan stock returns. For the most related literature of market sentiment study that market sentiment will influence stock returns.In this paper, we apply Granger and Vector Auto regr...
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ndltd-TW-095NTPU01210272015-10-13T16:45:44Z http://ndltd.ncl.edu.tw/handle/01274988933914961715 The Relationship between investment sentiment index and stock price 投資人情緒與股價波動關係之研究 Cheng ,Ming-Yuan 鄭明遠 碩士 國立臺北大學 企業管理學系 95 This study empirically examines the impact of investiment sentiment index on the Taiwan stock returns. For the most related literature of market sentiment study that market sentiment will influence stock returns.In this paper, we apply Granger and Vector Auto regression model to investigate the connection between market sentiment indicators and stock returns, The period covered in this study is from January 2000 to May 2006. This study Empiricallay will be divided into three further bullish and two Bearish during the period, Discussion on the relationship of selected investiment sentiment index (daily turnover rate of exchange, adjusted debit balance finance, adjusted debit balance bearish , open interest of future) and the Taiwan stock index return. We can find the connection between market sentiment indicators and stock returns between bullish and bearish. The empirical results of Granger and Vector Auto regression model(VAR) show that the day investment sentiment variables in different periods disappear on influence of stock returns. But,it remains significant that stock returns will influence the investiment sentiment variables. Analysis of bullish and bearish about the connection between market sentiment indicators and stock returns has no difference. It was found that investiment sentiment index is influenced with stock returns on bullish market is more significant than bearish market. Lin ,Chaung-Yuang 林泉源 2007 學位論文 ; thesis 54 zh-TW |
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碩士 === 國立臺北大學 === 企業管理學系 === 95 === This study empirically examines the impact of investiment sentiment index on the Taiwan stock returns. For the most related literature of market sentiment study that market sentiment will influence stock returns.In this paper, we apply Granger and Vector Auto regression model to investigate the connection between market sentiment indicators and stock returns, The period covered in this study is from January 2000 to May 2006. This study Empiricallay will be divided into three further bullish and two Bearish during the period, Discussion on the relationship of selected investiment sentiment index (daily turnover rate of exchange, adjusted debit balance finance, adjusted debit balance bearish , open interest of future) and the Taiwan stock index return. We can find the connection between market sentiment indicators and stock returns between bullish and bearish.
The empirical results of Granger and Vector Auto regression model(VAR) show that the day investment sentiment variables in different periods disappear on influence of stock returns. But,it remains significant that stock returns will influence the investiment sentiment variables. Analysis of bullish and bearish about the connection between market sentiment indicators and stock returns has no difference. It was found that investiment sentiment index is influenced with stock returns on bullish market is more significant than bearish market.
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author2 |
Lin ,Chaung-Yuang |
author_facet |
Lin ,Chaung-Yuang Cheng ,Ming-Yuan 鄭明遠 |
author |
Cheng ,Ming-Yuan 鄭明遠 |
spellingShingle |
Cheng ,Ming-Yuan 鄭明遠 The Relationship between investment sentiment index and stock price |
author_sort |
Cheng ,Ming-Yuan |
title |
The Relationship between investment sentiment index and stock price |
title_short |
The Relationship between investment sentiment index and stock price |
title_full |
The Relationship between investment sentiment index and stock price |
title_fullStr |
The Relationship between investment sentiment index and stock price |
title_full_unstemmed |
The Relationship between investment sentiment index and stock price |
title_sort |
relationship between investment sentiment index and stock price |
publishDate |
2007 |
url |
http://ndltd.ncl.edu.tw/handle/01274988933914961715 |
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