The Impact of Investor Sentiment On Stock Option Market

• Main Authors: Chia-Ling Chang Chien, 張簡佳玲
• Other Authors: Bing-Huei Lin
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/42792460817864742966

碩士 === 國立中興大學 === 財務金融系所 === 98 === The individuals in the investment market usually learn, contemplate and introspect themselves through their trading experiences from the past. Moreover, they will reflect their true sentiment on the trading behaviors. Therefore, it is not possible to predict the trading behavior of the investors. However, the classic financial theory does not accept the phenomenon that the investors could be irrational. In behavior finance, it is believed that people are not perfect and rational. Therefore, the behavior finance believers tend to discuss the irregular phenomenon in the market through psychology. As there are many choices of financial derivatives, the investors can form their portfolios easily by choosing few of them. The topic I will discuss in this research is whether the investor sentiment will be passed along among the different financial derivatives or not. This research starts from the viewpoints from the behavior finance. It collects the data of the trading information in the market and uses the data to analyze the investor sentiment in the stock market. Furthermore, this research will discuss the impact that investor sentiment has on the stock option market by analyzing how the stock option merchandises connect the stock market and option market. The period of data used in this research is from 1998 to 2009. The researching objects are the 100 companies in the S&P100. The 100 companies are divided into four categories according to their characteristics, and from there, I discuss the impact that the investor sentiment has on the stock market. I analyze the investor sentiment indicator in the stock market by using the Principal Component Analysis. The variables are Closed-End Fund Discount, Share Turnover, Share of Equity New Issued, Dividend Premium, IPO and IPO Return. The result shows that for analyzing the investor sentiment indicators, in 1998, the financial crisis in Asia did have an immense impact on the investor sentiment in the United States. As for the financial crisis in 2007-9, the investor sentiment indicators are negatively related, which represents a pessimistic investment environment. Therefore, the market trading information can be used to explain the trading behaviors of the investors. The investors consider the capability of gaining profit as the primary factor when choosing a company to invest. The result comes from the characteristics of the companies in the four categories and the cross-analysis of the annual investor sentiment report. In the bull market, the investors choose companies with less market value and low capability of gaining profit as their investing targets. Therefore, we can claim that in the stock option market, the investors are risk-seeking and like to take advantage of leverage to gain higher profit.