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    政大機構典藏 > 商學院 > 會計學系 > 學位論文 >  Item 140.119/118591
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/118591


    Title: 股價波動與財務預警-數據分析觀點
    Stock price volatility and financial warning -a data analytics perspective
    Authors: 吳昱萱
    Wu-, Yu-Hsuan
    Contributors: 諶家蘭
    吳昱萱
    Wu- Yu-Hsuan
    Keywords: 股價波動
    財經新聞
    情緒分析
    財務預警
    Stock price volatility
    Financial news
    Sentiment analysis
    Financial warning
    Date: 2018
    Issue Date: 2018-07-11 17:20:53 (UTC+8)
    Abstract: 投資者作投資決策前,會先就公開資訊作風險評估,其中新聞是投資者能即時取得資訊的重要管道。投資者能從新聞了解企業是否面臨潛在的經營和財務風險等,這些訊息可幫助投資者作決策,進而反映在股價上,造成股價波動。

    本研究以2007年至2017年台灣931家上市公司為研究對象,運用情緒分析,使用財經新聞財務預警之情緒字典衡量公司財務預警程度,探討公司財務預警相關財經新聞情緒和新聞篇數是否影響股價波動,研究結果顯示,公司當日、昨天和前天財務預警相關之財經新聞情緒分析和新聞篇數與公司當日之股價波動顯著相關。當公司當日、昨天和前天相關新聞中財務預警相關的正(負)向字詞佔比越高時,當日股價波動越大,同時使用財務預警相關之正向字和負向字衡量新聞整體情緒時,亦發現公司當日、昨天和前天相關財經新聞的整體情緒越偏負面,當日股價波動越大。
    Investors may obtain public information, such as financial reporting, to make risk assessment before the investment decisions. Reading financial news articles is an important way of obtaining instant message about companies’ recent situations. It helps investors realize if the companies’ face potential operational or financial risk. The information financial news conveys may help investors make decisions which will reflect on the stock price of the companies.

    This study uses 931 listed companies in Taiwan Stock Exchange(TWSE) during the eleven-year period 2007-2017 to empirically examine the association between the stock price volatility and the sentiment and quantity of financial warning related financial news by using sentiment analysis. This study employs the financial warning related sentiment dictionary of financial news to measure companies’ financial warning degree.The results show that the stock price volatility is significantly affected by today’s financial news’, yesterday financial news’, and the day before yesterday financial news’ quantity and sentiment. The stock price volatiles more dramatically when the proportion of positive(negative) words in fianancial news is higher. Furthermore, this study simultaneously considers positive and negative words as the company’s financial warning sentiment. The result shows that the stock price volatiles more dramatically when the financial warning sentiment more negative.
    Reference: 一、中文參考文獻
    林宜萱,2013,財經領域情緒辭典之建置與其有效性之驗證-以財經新聞為元件,國立臺灣大學會計學系碩士論文。
    許馨予,2016,股票價格波動性與新聞情緖分析之關聯性研究,國立政治大學會計學系碩士論文。
    張溢晃,2009,財經新聞語料中所隱含之樂悲觀情緒在企業財務危機預警模型構建上的應用,銘傳大學財務金融學系在職專班碩士論文。
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    Description: 碩士
    國立政治大學
    會計學系
    105353020
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105353020
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.ACCT.023.2018.F07
    Appears in Collections:[會計學系] 學位論文

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