The Impact of Investor Sentiment on Excess Returns: A Taiwan Stock Market Case

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Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/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:	[Graduate Institute & Department of Banking and Finance] Journal Article

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