Retail Investors Sentiment and Stock Return of Over-The-Counter Market

• Main Authors: Shin-Sheng Chang, 詹士陞
• Other Authors: Kun-Hui Lin
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/45214716811924957403

碩士 === 國立屏東科技大學 === 財務金融研究所 === 96 === This study is just for understand the relationship between the Retail Investors Sentiment and the Stock Return of Over-The-Counter Market. The study of object are retail investors on the Taiwan stock market and Index of Over-The-Counter Market. The research period is from 2003/12/01 to 2007/12/30. We apply Granger causality test from VAR model to investigate the connection between retail investors sentiment indicators and stock returns. Our empirical result show: (1)The direct investors sentiment indicators disappear on influence of stocks returns, however ,it remains significant that stock returns will influence the direct investors sentiment indicators.(2)The indirect sentiment indicators disappear on influence of stocks returns, however, it remains significant that stock return will influence the indirect sentiment indicators.