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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/48971
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/48971


    Title: 市場恐慌程度對投資人交易行為的影響
    The impact of fear gauge on trading activities
    Authors: 李嘉雯
    Contributors: 李志宏
    李嘉雯
    Keywords: 投資人恐慌情緒
    下單積極度
    交易行為
    Date: 2009
    Issue Date: 2010-12-08 01:54:28 (UTC+8)
    Abstract: 過去許多研究文獻探討情緒指標與股市報酬的關係,本文著眼於情緒指標和投資人交易行為的關係。
    本研究以VIX(volatility index)指數作為投資人恐慌情緒指標,將樣本資料中的VIX指數等分為四個區間,觀察不同區間下投資人持股的意願,投資人的下單積極度以及三大法人的買賣超交易策略是否有顯著差異。
      實證研究顯示,週轉率、當沖比例以及券資比在投資人情緒不同下,都有顯著的差異。
      外資及自營商買賣超金額會受到情緒指標不同而有顯著差異;
    而投信買賣超金額則不會因恐慌程度不同而有顯著差異。其中外資買賣超金額明顯的隨著恐慌程度的增加,由大量買超轉為大量賣超;
    投信的買賣超金額在情緒波動下沒有顯著差異。
      三大法人以及一般自然人的下單積極度當中,除了外資買單、自營商賣單以及投信賣單的下單積極度不因恐慌情緒波動而有差異,其他則有顯著差異。另一方面,投信整體下單積極度明顯的高於其他投資人,而自營商的下單積極度則明顯偏低。
    Reference: 參考文獻
    一、 中文文獻
    1. 顏月珠(1998),無母數統計方法。
    2. 羅庚辛, 藍宇文, 張尚原(2007),台指選擇權市場最適波動度指標之研究,風險管理學報,Vol. 9 No.2 pp.1-25。
    3. 黃于珍(1999),外資交易行為對台灣股市之影響,私立輔仁大學管理學研究所碩士論文。
    4. 李詩文(1996),股市外資,自營商與基金互動關係-狀態空間模型應用之實證研究,國立中興大學企業管理學研究所碩士論文。
    5. 張嘉宏(1995),台灣股票市場加權股價指數與融資餘額、融券餘額之關係研究,私立東海大學企業管理學研究所碩士論文。
    6. 丁誌魰, 曾富敏(2005),以向量自我迴規模式探討台灣股價、成交量、融資融券與法人進出之關聯性,真理財金學報。
    7. 涂登才,杜玉振,卓必靖(2004),台指選擇權VIX指數編制法及VIX指數基礎下的避險策略之研究,台灣期貨與衍生性商品學刊,第二期,88-107。
    8. 周賓凰, 張宇志, 林美珍(2007),投資人情緒與股票報酬互動關係,證券市場發展季刊。
    9. 古金尚(2003),台灣股票市場投資者心理情緒影響因素之實證研究,朝陽科技大學財務金融系碩士論文。
    10. 蔡劼麟 (1999),台灣股票市場價格動量與週轉率之循環研究,銘傳大學財務金融研究所碩士論文。
    11. 余宗達(1998),外國專業投資機構與指標性自營商於國內股市之定位,淡江國際貿易學系碩士論文。
    二、 英文文獻
    1. Baker, Malcolm and Jeremy C. Stein, (2002), “Market liquidity as a sentiment indicator.” Journal of Financial Markets, vol. 7(3), pp. 271-299..
    2. Campbell, J. Y., S. J. Grossman and J. Wang, (1994), “Trading volume and serial correlation in stock returns.” Quarterly Journal of Economics vol. 108, pp. 905-939.
    3. Conrad, S. J., A. Hameed and C. Niden, (1994), “Volume and autocovariances in short horizon individual security returns.” The Journal of Finance, vol.49, pp. 1305-1330
    4. Copeland, M.M. and T.E. Copeland, (1999), “Market Timing:Style and Size Rotation Using the VIX", Financial Analysts Journal, Vol. 55, 2, pp.73-81.
    5. Epps, T.W., (1975), “Security Price Changes and Transaction Volumes:Theory and Evidence?” , American Economics Review, Vol. 65, pp.586-597
    6. Fleming,J., Ostdiek and R.E. Whaley (1995), “Predicting Stock Market Volatility:A New Measure,” The Journal of Futures Markets, Vol 15, pp. 265-302
    7. Giot, P. , (2003), “The information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk", Journal of Futures Markets, Vol.23, 5, pp.411-454.
    8. Gompers, P. A., and A. Metrick, (2001), “Institutional investors and equity prices,” Quarterly Journal of Economics, vol. 116, pp. 229-260
    9. Griffiths, M., Smith, B., Turnbull, D. and White, R. (2000). “The costs and the determinants of order aggressiveness.” Journal of Financial Economics, vol. 56, pp. 65-88.
    10. Grinblatt, M. and M. Keloharju (2000), “The investment behavior and performance of various investor types.” Journal of Financial Economics, vol. 55, pp. 43-76.
    11. Karus, A. and H.R. Stoll, (1972),“Parallel trading by institutional investors.”, Journal of Financial and Quantitative Analysis,7,2107-2138.
    12. Lee, Charles M. C. and B. Swaminathan,(2000), “Price momentum and trading volume.” The Journal of Finance, vol.55, pp. 2017-2069.
    13. Odean, Terrance, (1998b), “Volume, volatility, price and profit when all traders are above average.” Journal of Finance, vol. 53, pp.1887-1934
    14. Ranaldo, A. (2004). “Order aggressiveness in limit order book markets.” Journal of Financial Markets, vol. 7, pp. 53-74.
    15. Shiller, Robert J., Fumiko Kon-Ya and Yoshiro Tsutsui (1996), “Why did the Nikkei Crash? Expanding the scope of expectations data collection.” Review of Economics and Statistics, vol. 78 (1), pp. 156-64.
    16. Statman, Meir, and Steven Thorley, (2003), “ Investor overconfidence and trading volume.” Review of Financial Studies, vol. 19, pp. 1531-1565.
    17. Tavakkol, Amir (2000), “Positive feedback trading in the options market?” Quarterly Journal of Business and Economics, vol 39, pp. 69-80
    18. Whaley,R.E.(2000), “The investor Fear Gauge?” Journal of Portfolio Management, vol 26, pp. 12-17
    Description: 碩士
    國立政治大學
    財務管理研究所
    97357030
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097357030
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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