本論文主要研究為探討投資人情緒對S&P500指數波動性之影響，主要以美國市場作為研究對象，並且使用Panel Data來進行混合迴歸模型的估計。 相關的具體研究目的主要濃縮成四項，(一)為美國期貨交易制度存在著公開喊價競價系統與電子交易自動化交易系統之差異，對於S&P500指數價格變化將可能存在著顯著的影響，但對於波動性的影響卻鮮少有進行資訊傳遞的比較與分析，(二)考量近年國外金融市場引發諸多重大事件，如美國QE政策停止、金融海嘯等，公開喊價與電子交易資訊是否能有效反應資訊，進而傳遞至現貨市場，將是本論文主要之核心，(三)隨著投資人交易情緒的改變，將會影響期貨市場與現貨市場間的資訊傳遞及波動度的變化，對此，本論文將進一步區分出悲觀與樂觀之樣本期間進行比較與分析，(四)在資訊傳遞效果上，將用Panel Data來進行混合迴歸模型的估計。 實證結果發現：再加入投資人情緒因素後，市場效率係數與價格波動沒有強烈關係性，而報酬率的部分，投資人不理性下會帶來負面效益，使報酬率與價格波動呈現負相關，在基差方面，在全樣本且投資人不理性下會減少基差帶來的正面效益，在歐債危機下會加大基差的正面效益，使價格波動震盪更為劇烈，最後我們發現價格與波動不一定呈現對稱關係。 This study mainly investigates the effects of Invester’s Sentiment on the Volatility of S&P 500 index, and mainly to the US market as the research object. We use Panel data to estimate the mixed regression model. The main purpose of the relevant specific research condensed into four points, (1) US futures trading system have the differences between open outcry auction system and electronic trading system of automated trading, and it may have a significant impact to S&P500 index price changes, but the impact of volatility of S&P 500 index are few compared and analyzed by information delivery. (2) In recent years, foreign financial market considerations lead to many major events, such as the stopping of US Quantitative Easing Monetary Policy and Financial crisis, erc. The information of Open-outcry and electronic trading whether can effectively reflect the information, and then transferred to the spot market, it is the main focus of the study. (3) The study will futher distinguish between pessimism and optimism of the sample period to compare and analysis because with the change in investor sentiment transaction will affect the changes in information transfer and volatility between the futures and spot markets. (4) We will use Panel data to estimate the mixed regression model on the effect of the information transfer. After adding investor’s sentiment factors the empirical results show the evidence that it is no strong relationship between market efficiency coefficient and price volatility. On the part of return rate, we find it will bring negative benefit when investors are irrational so that the rate of return and price volatility are negative correlation. On the part of basis, it will reduce the positive benefit from basis when investors are irrational in the full sample, and it will increase the positive benefits from basis in the European debt crisis. Price volatility will shock more intense. At the result, we find it is not symmetric relation between the price and volatility.
