The Information Content of the Stock Market for Sentiment Analysis – Using the PTT Stock As An Indicator

• Main Authors: CHEN, GUAN-YUAN, 陳冠淵
• Other Authors: WANG, CHEN-SHU
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/x3455x

碩士 === 國立臺北科技大學 === 資訊與財金管理系 === 107 === In the past, research in different fields often divided the financial indicators of financial markets and the comments of public media on social sentiment into two distinct themes. In this study, principal component analysis was used to construct five indicators: turnover rate, financing / bearing ratio, relative strength index, put / call ratio, and sentiment of PTT stock board. And separately explore the information disclosure capabilities of each various variable and new indicator for Taiwan Capitalization Weighted Stock Index(TAIEX). The results of this study found that traditional financial indicators, sentiment of PTT stock and comprehensive sentiment indicator have a good predictive effect in terms of regression or accuracy, and it is found that the performance of sentiment of PTT stock in the Taiwan market is better than some traditional financial indicators. Also, the value of the information disclosed in those indicators and messages held at different time periods will affect the performance of the emotional scores after calculation. In addition, this article has a negative correlation result in one lag phase of the comprehensive emotional index, which may come from the fact that investors generally have optimistic bias, and overconfidence makes its operation in the stock market easy to have an inverse relationship with remuneration, and in terms of accuracy, the market's optimistic forecast is slightly better than pessimistic.