Investor Sentiment and Stock Returns in Taiwan
碩士 === 朝陽科技大學 === 財務金融系 === 105 === In addition to fundamentals, the returns in the stock market are often subject to the influence of investor sentiments in the short term. This paper hence refers to the overbought/oversold positions, day trading ratios, balance of margin loans and stock loans by...
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ndltd-TW-105CYUT03040162019-05-15T23:17:36Z http://ndltd.ncl.edu.tw/handle/jtce4e Investor Sentiment and Stock Returns in Taiwan 散戶情緒指標對台股報酬之影響 CHANG, HSIN-WEN 張馨文 碩士 朝陽科技大學 財務金融系 105 In addition to fundamentals, the returns in the stock market are often subject to the influence of investor sentiments in the short term. This paper hence refers to the overbought/oversold positions, day trading ratios, balance of margin loans and stock loans by foreign investors, investment trust companies and securities dealers as the independent variables for market sentiments. The research period is from January 2011 to March 2017. The purpose is to explore the effects of investor sentiments on the returns on the Taiwanese stock market. The empirical results suggest that the influence of the overbought/oversold positions by foreign investors, investment trust companies and securities dealers is mostly positive. The greater the aggregated overbought/oversold positions, the higher the daily returns of the constituents of the Taiwan 50 Index and the Taiwan Mid-Cap 100 Index. The number of the constitutes of the Taiwan 50 Index with significantly positive regression coefficients for the balance of margin loans is much higher than that of the Taiwan Mid-Cap 100 Index. This suggests the better liquidity of the Taiwan 50 Index constituents prompts investors to be engaged in bull strategies (evidenced by the larger balance of margin loans and the daily returns). However, the number of the constitutes of the Taiwan Mid-Cap 100 Index with significantly positive regression coefficients for day trading ratios is much higher than that of the Taiwan 50 Index. This is possibly due to the relative ease to speculate on the names with smaller market capitalizations and the lower numbers of shares outstanding in the Taiwan Mid-Cap 100 Index. Hence, the higher the day trading ratios, the greater the daily returns. CHEN, CHIEN-HUNG 陳建宏 2017 學位論文 ; thesis 36 zh-TW |
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碩士 === 朝陽科技大學 === 財務金融系 === 105 === In addition to fundamentals, the returns in the stock market are often subject to the influence of investor sentiments in the short term. This paper hence refers to the overbought/oversold positions, day trading ratios, balance of margin loans and stock loans by foreign investors, investment trust companies and securities dealers as the independent variables for market sentiments. The research period is from January 2011 to March 2017. The purpose is to explore the effects of investor sentiments on the returns on the Taiwanese stock market.
The empirical results suggest that the influence of the overbought/oversold positions by foreign investors, investment trust companies and securities dealers is mostly positive. The greater the aggregated overbought/oversold positions, the higher the daily returns of the constituents of the Taiwan 50 Index and the Taiwan Mid-Cap 100 Index. The number of the constitutes of the Taiwan 50 Index with significantly positive regression coefficients for the balance of margin loans is much higher than that of the Taiwan Mid-Cap 100 Index. This suggests the better liquidity of the Taiwan 50 Index constituents prompts investors to be engaged in bull strategies (evidenced by the larger balance of margin loans and the daily returns). However, the number of the constitutes of the Taiwan Mid-Cap 100 Index with significantly positive regression coefficients for day trading ratios is much higher than that of the Taiwan 50 Index. This is possibly due to the relative ease to speculate on the names with smaller market capitalizations and the lower numbers of shares outstanding in the Taiwan Mid-Cap 100 Index. Hence, the higher the day trading ratios, the greater the daily returns.
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CHEN, CHIEN-HUNG |
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CHEN, CHIEN-HUNG CHANG, HSIN-WEN 張馨文 |
author |
CHANG, HSIN-WEN 張馨文 |
spellingShingle |
CHANG, HSIN-WEN 張馨文 Investor Sentiment and Stock Returns in Taiwan |
author_sort |
CHANG, HSIN-WEN |
title |
Investor Sentiment and Stock Returns in Taiwan |
title_short |
Investor Sentiment and Stock Returns in Taiwan |
title_full |
Investor Sentiment and Stock Returns in Taiwan |
title_fullStr |
Investor Sentiment and Stock Returns in Taiwan |
title_full_unstemmed |
Investor Sentiment and Stock Returns in Taiwan |
title_sort |
investor sentiment and stock returns in taiwan |
publishDate |
2017 |
url |
http://ndltd.ncl.edu.tw/handle/jtce4e |
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