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| Title: | 基金淨值波動與財務預警-數據分析觀點
Mutual fund`s net asset volatility and financial warning - a data analytics perspective |
| Authors: | 陳羽謙
Chen, Yu-Chien |
| Contributors: | 諶家蘭
陳羽謙
Chen, Yu-Chien |
| Keywords: | 基金淨值波動
情緒分析
財務預警
文字探勘
Mutual fund`s net asset volatility
Sentiment analysis
Financial warning
Textual mining |
| Date: | 2018 |
| Issue Date: | 2018-07-20 17:36:01 (UTC+8) |
| Abstract: | 不論投資人從哪裡取得財經新聞，新聞的內容和用字偏向正面或負面的寫法，意即情緒分析，都會成為投資人作投資決策的依據。除了直接在資本市場上交易股票的投資人之外，也有不少投資人選擇將錢投入共同基金，交由專業經理人操盤，而這些經理人可能會選擇將投資大眾的錢拿去買股票。因此，投資標的公司股價的漲跌幅也會影響到特定基金的淨值。本研究的目的為探討報導某特定基金或某特定基金之標的公司的新聞情緒分析是否也會影響到基金淨值波動的程度。
本文以我國境內133支股票型基金及74家主要的投資標的公司為研究對象，研究期間為2007年至2017年。實證結果顯示，基金淨值的波動與新聞變數有顯著相關，且波動性會受到當天、昨天和前天新聞的影響。實證結果也顯示波動性和正面字詞的字數呈負相關；和負面字詞的字數呈正相關；和新聞的情緒分數呈負相關；和新聞的數量則呈正相關。
Regardless of where investors obtain financial news, the content of the news narrative and the use of words in favor of positive or negative writing, that is, sentiment analysis, will become the basis for investors to make decisions. In addition to the investors who directly trade stocks in the capital market, there are also many investors who choose to invest in mutual funds which are handled by professional managers. The managers may choose to invest the public funds to the stock. Therefore, the rise and fall in the stock price will also affect the net value of the specific fund. The purpose of this study is to investigate whether news media sentiment which report a particular fund or a particular invested company would influence the volatility of the fund`s net value.
This study uses 133 domestic equity funds and 74 major invested companies as the research object. The research period is 2007~2017. The empirical results show that the fluctuation of the fund`s net value is significantly related to the news variables, and the volatility will be affected by the news of the day, yesterday, and the day before yesterday. The empirical results also show that volatility is negatively correlated with the number of positive words; positively correlated with the number of negative words; negatively correlated with news sentiment scores; and the number of news stories is positively correlated. |
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| Description: | 碩士
國立政治大學
會計學系
105353041 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105353041 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.ACCT.030.2018.F07 |
| Appears in Collections: | [會計學系] 學位論文
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