| Summary: | 碩士 === 國立屏東大學 === 財務金融學系碩士班 === 106 === The purpose of this study is to discuss the interactive relationship among investor sentiment factors, including temperature, humidity, cloudiness, VIX, put-call ratio of open interest, and turnover ratio of institutional investors and the Taiwan stock market, including the return of TAIEX, TAIEX Total Return Index.
The research period is from Dec. 1, 2006 to Dec. 31, 2017. To examine the interactive relationship, Granger causality test, impulse response analysis, and forecast error variance decomposition are performed. The empirical results are as follow: (1) In GARCH(1,1) model, put-call ratio of open interest and turnover ratio of institutional investors have positive significant effect on Taiwan stock market; but the temperature has negative effect. (2) The bi-directional feedback causality relationship exist between VIX and return of TAIEX, VIX and return of TAIEXR, put-call ratio of open interest and return of TAIEX, and put-call ratio of open interest and return of TAIEXR. (3) The impulse response analysis shows that the returns of TAIEX and TAIEXR are positively affected by itself for one lagged period. The return of TAIEX are negatively affected by VIX for one lagged period, but positively affected by put-call ratio for one lagged period. (4) For the forecast error variance decomposition analysis, the returns of TAIEX and TAIEXR can be explained by itself at 67%. They also can be explained by VIX at 21% and by put-call ratio of open interest at 10%. We can conclude that VIX and put-call ratio of open interest are primarily investor sentiment factors that affect Taiwan stock market.
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