English  |  正體中文  |  简体中文  |  Items with full text/Total items : 51281/86342 (59%)
Visitors : 8149026      Online Users : 134
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    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

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML181View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback