The Impact of Monetary Policy Announcement on Investor Sentiment

• Main Authors: Chun-Chun Peng, 彭純純
• Other Authors: Emma Hsu
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/97100311582176636016

碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 97 === The study investigates whether the monetary policy announcements, including the date of discount rate and the reserve requirement change which announced by the Central Bank, significantly influence investor sentiment. The research period is from the year 2001 to 2008. There are five proxy variables of investor sentiment, ADL(1), ADL(14), ADR(10), market turnover, and the VIX. To manifest the relationship between the Central Bank monetary policy announcement and the investor sentiment, we apply the OLS regression analysis and the GARCH model. The results show that the monetary policy announcement has a significant effect on investor sentiment. When the tightened monetary policy is announced, the VIX rises, and the ADL(14) declines. The increase of VIX implies in pessimistic investor sentiment. On the other hand, when the loosed monetary policy is announced, the VIX and ADL(14) fall. The decline of VIX represents a stable investor sentiment. When we look at the influence level of announcement on investor sentiment, we find that the discount rate announcement has stronger effect than the reserve requirement rate announcement on investor sentiment. Moreover, the results show not only the contemporary but also the lagged effects of monetary policy announcements on investor sentiment. The lagged effect explores a negative significant influence on investor sentiment (ADL (14)) after 30 days when the monetary policy was announced. Furthermore, the lagged effect of the reserve requirement is greater than that of the discount rate announcement.