| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 100 === Past behavioral finance literatures show that there is significant effect of investor sentiment on market returns. Some theoretical papers suggest that noise traders’ behavior would affect the equilibrium of efficient market, causing the deviation of market price.
Recent years, not only individual investors but also institutional investors pay more attentions on sentiment index. In this study, we introduce a new sentiment indicator that called “trading sentiment”. We define trading sentiment as the transaction density. Moreover, we include investor sentiment indicators, such as individual indicator, market turnover, and VIX, in our analysis model. The results show that there is significantly positive relation between transaction density and stock market returns. The degree of effects is higher than other indicators that important in the past literatures. Further, to test the robustness of transaction density indicator, we separate whole sample period into several subsample periods, such as several bull and bear market periods and 9 sub-periods. We show the similar results in any different periods. Trading sentiment indicator indeed influences the market returns and provides useful information to support the investment decision.
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