English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 82429/111618 (74%)
造訪人次 : 21429690      線上人數 : 698
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: http://nccur.lib.nccu.edu.tw/handle/140.119/115755


    題名: Google搜尋趨勢與認知金融:從臺灣股票市場學到的新知
    Google Trends and Cognitive Finance : Lessons Gained from the Taiwan Stock Market
    作者: 沈佩璇
    Shen, Pei Hsuan
    貢獻者: 陳樹衡
    Chen, Shu Heng
    沈佩璇
    Shen, Pei Hsuan
    關鍵詞: 認知金融
    搜尋量指數
    股票市場
    投資行為
    Cognitive finance
    Google search volume index
    Stock market
    Behavior of investors
    日期: 2018
    上傳時間: 2018-02-02 11:35:12 (UTC+8)
    摘要: 
    Behavioral finance is the study of the influence of psychology on the behaviors of financial practitioners and the subsequent effect on the markets. Although behavioral finance theory has been popular for many years, empirical studies only become possible recently, thanks to the advancement of technology and the availability of data and tools. This research adopts an empirical approach to investigate how investors’ attention and interview sentiments influence Taiwan stock market. In particular, we identify the psychological factors that have an impact on Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX).
    In addition to TAIEX data, including TAIEX prices and trading volume, two other data sources have been used in this study: (1) Investor Confidence Index interview data provided by J.P. Morgan Asset Management, representing investors’ interview sentiments and (2) search volume data from Google Trends, symbolizing investors’ attention. We first analyzed weekly data from January 5, 2014 to November 6, 2016, and then ran regression on the data, under the Newey-West correction of standard errors method, to identify the effects of investors’ attention and interview sentiments on TAIEX.
    We have found many interesting results. First, we discovered the investors in the Taiwan stock market normally use company names, not ticker symbols, to conduct Google search for information related to investment decisions. Second, investors’ attention based on the Google Search Volume Index (SVI) searched by company names is significantly and positively correlated with the average returns of TAIEX, which agrees with the attention hypothesis of Barber and Odean (2007). Third, we verified the hypothesis of Barber and Odean (2007) that the positive trend of SVI is an indication of investors’ intention of purchasing a stock. Fourth, investors’ interview sentiment of Taiwan Stock Price Index is negatively correlated with the average returns of TAIEX, which supports the overconfident hypothesis proposed by De Bondt and Thaler (1995). By contrast, their interview sentiment of Taiwan Economic Situation Index is positively correlated with the average returns of TAIEX. Finally, trading volume is positively related to the average returns of TAIEX, which aligns with that reported in Chuang, Ouyang, and Lo (2010).
    參考文獻: Aouadi, A., Arouri, M., & Teulon, F. (2013). Investor attention and stock market activity: Evidence from France. Economic Modelling, 35, 674-681.
    Andrade, S. C., Chang, C., & Seasholes, M. S. (2008). Trading imbalances, predictable reversals, and cross-stock price pressure. Journal of Financial Economics, 88(2), 406-423.
    Andrews, D. W. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica: Journal of the Econometric Society, 817-858.
    Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.
    Bank, M., Larch, M., & Peter, G. (2011). Google search volume and its influence on liquidity and returns of German stocks. Financial markets and portfolio management, 25(3), 239-264.
    Barber, B. M., & Odean, T. (2007). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The Review of Financial Studies, 21(2), 785-818.
    Barber, B. M., Odean, T., & Zhu, N. (2008). Do retail trades move markets?. The Review of Financial Studies, 22(1), 151-186.
    Barber, B. M., Odean, T., & Zhu, N. (2009). Systematic Noise. Journal of Financial Markets, volume 12, issue 4, pages 547-569, Elsevier
    Chuang, W. J., Ouyang, L. Y., & Lo, W. C. (2010). The impact of investor sentiment on excess returns a Taiwan stock market case. International Journal of Information and Management Sciences, 21(1), 13-28.
    Chung, S. L., & Yeh, C. Y. (2009). Investor Sentiment, Regimes and Stock Returns.
    (February 13, 2009). Available at SSRN: https://ssrn.com/abstract=1342588.
    Da, Z., Engelberg, J., & Gao, P. (2009). In Search of Attention. AFA 2010 Atlanta
    Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1364209
    Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The Journal of Finance, 66(5), 1461-1499.
    Daniel, K., Hirshleifer, D., and Subrahmanyam, A.(1998) Investor Psychology and Security Market Under- and Over-Reactions, Journal of Finance, 53(6):1839-1885.
    De Bondt, W. F. & Thaler, R. H. (1995). Financial decision-making in markets and firms: A behavioral perspective. Handbooks in operations research and management science, 9, 385-410.
    Fan, M. H., Liao, E. C., & Chen, M. Y. (2014, December). A TAIEX forecasting model based on changes of keyword search volume on Google Trends. In IEEE International Symposium on Independent Computing (ISIC). IEEE.
    Gallant, A. R. (2009). Nonlinear statistical models (Vol. 310). John Wiley & Sons.
    Karpoff, J. M. (1987). The relation between price changes and trading volume: A survey. Journal of Financial and quantitative Analysis, 22(1), 109-126.
    KUAN, C. M. (2008). LECTURE ON Robust Tests with and without Consistent Estimation of Asymptotic Covariance Matrix. Institute of Economics Academia Sinica. Retrieved from http://homepage.ntu.edu.tw/~ckuan/pdf/Lec-HAC_0802.pdf
    Lee, C., and Swaminathan, B. (2000), Price momentum and trading volume, Journal of Finance, Vol. 55, pp.2017-2069.
    Litterman, R. B. (1983). A random walk, Markov model for the distribution of time series. Journal of Business & Economic Statistics, 1(2), 169-173.
    Miller, E. M. (1977). Risk, uncertainty, and divergence of opinion. The Journal of finance, 32(4), 1151-1168.
    McCall, J. J. (1970). Economics of information and job search. The Quarterly Journal of Economics, 113-126.
    Russo, J. E. (1974). More information is better: A reevaluation of Jacoby, Speller and Kohn. Journal of Consumer Research, 1(3), 68-72.
    描述: 碩士
    國立政治大學
    經濟學系
    104258021
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104258021
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    802101.pdf712KbAdobe PDF0檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋