The Impact Of Investor Sentiment On Stock Returns: Intra-day Evidence From Taiwan

• Main Authors: Chiu, Peichun, 邱珮君
• Other Authors: Huang, Chihjen
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/06461164795627744608

碩士 === 靜宜大學 === 財務金融學系 === 100 === The study investigates the relationship between investor sentiment and the excess returns of the common stocks in the Taiwan Stock Exchange. We firstly construct a complex sentiment index by principal component analysis for all the sentiment indexes and analyze its effect on stock returns. Furthermore, we use Granger Causality Test to examine the lead-lag effect between sentiment and stock returns. The evidence based on intra-day data shows that the relation between investor sentiment and current market returns is significantly positive, but investor sentiment has negative influence on future market returns. For individual stocks, after controlling for firm characteristics, we find a significantly negative effect of investor sentiment both on current and future stock returns. The results of Granger Causality Test indicate that market returns have predictability on investor sentiment, but not the other way around. For individual stocks, investor sentiment is Granger-caused by returns and sentiment can cause returns.