| Summary: | 碩士 === 國立臺北大學 === 企業管理學系 === 101 === Most stock prediction model using traditional stock technical indicators to construct the model, but recent research indicates stock returns associated with investor sentiment, trading volume and turnover are related. This article attempts besides price index indicators, also joined associated with investor sentiment proxies, to construct the Taiwan stock market returns of predictive models. In analyzing the Taiwan stock market trading stock market index, factor analysis can effectively be eighty-three Technical indicators divided into eight factor dimensions of cumulative explain 73.927% of the variance. Eight proxies sentiment index relative to 2619 market stock returns regression analysis showed that the sentiment index and market returns have significant correlation. Then use autoregressive the mobile integrated mode (ARMA) analysis during the sequence of eight sentiment index, and use Transfer function ARMA model (TFARMA) mode analysis sentiment index relative to the length of the broader market stock returns. The results show that the eight sentiment index has a different length during impact on the broader market stock returns. Its results show to use TFARMA mode analysis sentiment index relative to the broader market stock returns appropriate fit and predictive ability.
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