本文使用GJR-GARCH模型來探討美國直接與間接投資人情緒指標對10個國際股票市場的大盤指數報酬與波動之關連，另外將直接情緒指標區分理性與非理性兩部分探討其影響力。本文旨在研究投資人情緒變化，掌握股市的短期動向，提供投資人參考，規避潛在損失風險。 實證結果顯示:1.VIX (Volatility Index）指數對各個股市大盤指數的報酬有顯著負相關，顯見恐慌指標反映投資人對於股市預期的心理變化。在不對稱效果下，唯有NASDAQ與泰國市場不顯著，其餘顯著證據指出負面消息的揭露會使波動更加劇烈。2.在美國個別投資人情緒中，消息面(理性)交易與各國大盤指數報酬呈現顯著正相關、與波動呈現負相關，但是與多數亞洲國家的波動性則呈現低度相關或不相關。3.雜訊(非理性)交易與各國大盤指數報酬與波動大多無顯著相關，顯然理性交易者的投資行為比起雜訊交易者，更具有影響力。4. Put/Call ratio 與各國報酬呈顯著負相關，比例越大表示市場氣氛看空；除了S&P 500與香港外，變異數沒有顯著相關性。5.保護性策略與各國報酬呈現顯著正相關；除了NASDAQ與香港，變異數呈現顯著負相關。 This study uses GJR-GARCH model to examine the relationship between investor sentiments and returns and volatility of stock markets. The article focus on changes in investor sentiments and providing information to investor to hedge the potential risks of loss. The empirical results are show as: 1. VIX (Volatility Index) has the negative correlation on the all stock markets. In the asymmetric effect, we have significant evidence that the disclosure of negative news will be more severe fluctuation except NASDAQ and Thailand. 2. Rational sentiments have positive relationship on returns, but negative on volatility. These relationships are weakly on most of Asian country. 3. Irrational sentiments have no effect on both returns and volatility of the most of stock markets. Compare with rational sentiments, it has fewer influences. 4. Put/Call ratio has negative influence on returns; except for S&P 500 and Hong Kong, no effect on other country. 5. Preventive strategy has positive correlation on returns and negative correlation on volatility besides NASDAQ and Hong Kong.
