本文以台灣股票市場作為研究對象，針對以下四個面向進行實證探討：首先，探討股價指數報酬與市場各項情緒指標間的互動關係。接著在基本的架構下，另外加入股票市場多、空頭的變數，探討股價指數報酬與市場情緒指標各變數的互動關係是否會因此有所差異。第三個面向再探討納入結算到期效應的影響，分析各情緒因子的直接效果與間接效果是否有顯著相關。最後，利用Granger Casuality模型，驗證法人買賣動態與情緒指標間之因果關係。綜合本文的實證結果，得到下列幾點結論： 情緒指標亦可能受到多頭與空頭時期的影響，如：牛市行情時，券資比會受到市場交易熱絡而明顯上升；期貨未平倉量、期貨與現貨價差因面臨結算日而出現顯著的收斂現象。大盤股價報酬率會受到外資、自營商買賣超及道瓊收盤價的影響；以股票成交量的上升來說，會影響到期貨未平倉量增加，其原因可能為在成交量與指數同步上揚的情況下，產生所謂多空拉拒效應，故使期貨未平倉量增加。以五日均線的間接效果可瞭解，在大盤指數於均線之上時，自營商的買賣超會縮減，而大盤成交量能潮若放的越大，其報酬率降低越顯著。 Based on Taiwan stock market, this thesis primarily discusses the following four-oriented empirical studies. The first issue talks about the interaction between return of stock index and market sentiment indicators. Furthermore, we try to discuss if there goes the different results when an additional variable about stock market status (such as in bull market or bear market)is added into the basic framework. The third issue is about the clearing maturity effect which focuses on whether there exist significant correlations of direct and indirect effects among these emotional factors or not. Finally, we use Granger Casuality model to verify the causal relationship among dynamic trading of corporate and sentiment indicators.
The empirical conclusions are as follows. Sentiment indicators are significantly affected by stock market status. In the bull market, for instance, the financing securities ratio will be climb obviously when stock market trades frequently. Moreover, the open positions in futures and price differences between futures and spot will significantly approach convergence because of the coming balance sheet date. Stock market returns will be also affected by net buying and net selling of foreign institutional investors and dealers and the closing price of Dow Jones. The increasing trading volume of stock markets will result in rising futures open positions. The probable reason is that when stock trading volume and index Sync go up at the same time, the bearish and bullish investors will choose to keep the have the so-called Effect of mutual confrontation and there comes the rising open positions in the futures. The indirect effects on the 5th MA can indicate that net buying and net selling of dealers will shrink while the market index is higher than the average. And we also find that the more the trading volume enlarges, the more the rate of return reduces.
