| Summary: | 碩士 === 國立政治大學 === 財務管理研究所 === 105 === The paper analyzes the relationship between actual, unexpected and unexpected tight and easy monetary policy and TAIEX futures index returns at first and attempt to know whether there are asymmetric reactions. It makes a further effort to examine the correlation between monetary policy decisions and the returns when different types of investors’ sentiments are high.
The results show that the coefficients of actual or unexpected monetary policies are not statistically significant. However, the unexpected easy M2 monetary policy has significant and positive influence on the returns. Besides, when dividing the data into different regimes, we can discover the asymmetric reactions that actual and unexpected rediscount rate has significant and positive influence in bull market, and unexpected tight and easy monetary policy rediscount rate is more effective in bear market, indicating that there are asymmetric reactions in different regimes.
On whether there are different influences of the monetary policy decisions for each of the investors in high sentiment, it turns out that the actual, unexpected and unexpected tight and easy monetary policy decisions greatly affect the returns when investors’ sentiment are high, especially the overnight rate. Moreover, when data is divided into different regimes, in the actual, unexpected and unexpected tight and easy monetary policy, the relationship between monetary policies and rate of return are significant when each of the investors in high sentiment in different regimes.
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