| Summary: | 碩士 === 國立中正大學 === 財務金融研究所 === 102 === This study examines whether there is investor sentiment in the Taiwanese tourism industry during the period 2003 to 2013. Following Baker, Wurgler and Yuan (2012), the study constructs an investor sentiment index based on market turnover, the number of IPO, return of IPO, and volatility of premium. Regression test results using both daily and monthly data indicate that investor sentiment in the tourism industry can affect tourism stock returns. Further, adding four macroeconomic variables, included changes in unemployment rate, money supply growth rate, inflation rate, industrial production growth rate to regression, regression test results based on monthly data still show that investor sentiment in the tourism industry has a significant effect on tourism stock returns.
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