| Summary: | 碩士 === 國立虎尾科技大學 === 經營管理研究所 === 100 === About investor Sentiment influence their investment behavior of past literature, mostly focusing on the stock market rather than in the futures market. In addition, past literature found investors easy to emotional changes, rendering non-linear association. Therefore, we used Taiwan stock index futures returns for investors measure the behavioral performance, used north, west, east and south of the weather factors (including temperature rainfall and sunshine hour) as a proxy for changes in investor sentiment indicator. In this paper, we choose Taiwan from 2000 to 2010 monthly data to explore investor sentiment and the investment environment of Taiwan Futures investment performance affect. Our approach of nonlinear used Hansen’s (2000) threshold regression model to examine whether the threshold effect of investor sentiment index on Taiwan stock index futures is existed.
Empirical results found, first is to invest in the exploration of different emotional proxy variables and environmental variables of the impact of Taiwan’s stock index futures returns. The emotional agent variables to determine the most significant impact of temperature on Taiwan’s stock index futures returns. In terms of investment environmental variables regarding Taiwan’s stock index futures open, the most significant effects of Taiwan’s stock index futures occur on the last sold and interbank rates of stock index futures returns.
Secondly, regarding non-linear threshold effects testing; using temperature as a threshold variable, Taiwan’s stock index futures settlement price on stock index futures returns had a threshold effect in the north and south. In addition, Taiwan’s stock index futures'' open interest and interbank rates had a threshold effect on the stock index futures'' returns in the east. Then, using the changing rainfall as a threshold variable, Taiwan’s stock index futures settlement price on index futures returns had a threshold effect in the north and east, while interbank rates had a threshold effect on Taiwan’s stock index futures'' returns in the north and west. Then, using changes to the hours of sunshine as a threshold variable, interbank rates had a threshold effect on Taiwan’s stock index futures'' returns in the west.
Finally, the threshold effect found that Taiwan’s stock index futures'' had a settlement price regardless of the regional effects of the period, were unchanged by the effects of weather sentiment indicators, and maintained significant positive effects. Taiwan’s stock index futures price volatility influenced stock index futures'' returns by temperature effects in the east, at temperatures of 23.52°C, with significant positive effects in the area. Interbank rates on the influence of Taiwan’s stock index futures'' returns by temperature and hours of sunshine had significant positive impact effects in the north and west, when rainfall was >170.17mm and >137.27mm, and hours of sunshine were >200.53hr.
|
|---|
