A Study on the Relationship between Investor Sentiments and Returns: An example of International Stocks

• Main Authors: Chun-Hui Huang, 黃郡慧
• Other Authors: Hsiu-Chuan Lee
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/84761200201950356835

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 102 === From the perspective of Behavioral Finance, Investor Sentiments are influences on Market Returns. The study is to investigate the relationship between Investor Sentiments and Market Returns globally, dealing with whether Sentiments Indicators influence Global Market Returns. Secondly, it divides Sentiments Indicators in high sentiments and low sentiments, focusing on the effect of two sentiments within the Global Market Returns. The study adopts six variables of Baker and Wurgler (2006) to count an investor’s Sentiments Indicators, and uses Least Squares Regression Analysis to discuss returns on global stocks. The positive statement proves that last Sentiments Indicators influence present stock returns. My paper further deals with if the effect of returns on minus Sentiments Indicators is greater than plus Sentiments Indicators. The ample evidences indicate that the effect of returns on minus Sentiments Indicators is greater than plus Sentiments Indicators. According to global countries types, turnover rate, and volatility, the study divides the elements into plus and minus Sentiments Indicators as Means Differentiation Test. No matter is developing country, developed country, and turnover rate, the result shows that the effect on minus Sentiments Indicators is greater than plus Sentiments Indicators.