The Relationship Between the Investor Sentiment of TFO and Stock Market Index Returns

• Main Authors: CHEN,CIOU-YAN, 陳秋燕
• Other Authors: Zen Li-Hong
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/8yhfjd

碩士 === 國立高雄應用科技大學 === 金融系金融資訊碩士班 === 105 === This study discusses the relationships between the investor’s sentiment and stock market returns. This study construct a sentiment index, derived from the implied volatility and historical volatility of options, to analysis the trader’s behavior. The data is the daily prices of Finance Total Return Index in stock markets, and is divided into bullish section and bearish section during the sample period. This study use VAR models and ARMA-GARCH models to empirically examine the relationship. The result shows that :(1) that stock market returns has significantly influence on the investment sentiment variables；(2) the stock market returns have influence more the sentiment indexes constructed from put options than the sentiment indexes constructed from call options；(3) The way that the stock market returns affect the sentiment indexes is clear.