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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92792

    Title: The Impact of Investor Sentiment on Excess Returns: A Taiwan Stock Market Case
    Authors: Chuang, Wu-Jen;Ouyang, Liang-Yuh;Lo, Wen-Chen
    Contributors: 淡江大學財務金融學系
    Keywords: Trading Volume;Investor Sentiment;Excess Returns
    Date: 2010-03
    Issue Date: 2013-10-22 17:09:58 (UTC+8)
    Publisher: 臺北縣:淡江大學
    Abstract: In this paper, we use a proxy for investor sentiment and employ a generalized autore-gressive conditional heteroskedasticity in mean (GARCH-M) model to show the impact of investor sentiment on excess returns in Taiwan stock market. Firstly, the evidences suggest that the change in trading volume is a suitable proxy for investor sentiment. Furthermore, the conditional volatility and excess returns have a negative and significant relationship. We argue that the irrational sentiment has influence on stock valuations.
    Relation: International Journal of Information and Management Sciences=資訊與管理科學 21(1), pp.13-28
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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