淡江大學機構典藏:Item 987654321/92792
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    题名: The Impact of Investor Sentiment on Excess Returns: A Taiwan Stock Market Case
    作者: Chuang, Wu-Jen;Ouyang, Liang-Yuh;Lo, Wen-Chen
    贡献者: 淡江大學財務金融學系
    关键词: Trading Volume;Investor Sentiment;Excess Returns
    日期: 2010-03
    上传时间: 2013-10-22 17:09:58 (UTC+8)
    出版者: 臺北縣：淡江大學
    摘要: 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.
    關聯: International Journal of Information and Management Sciences=資訊與管理科學 21(1), pp.13-28
    显示于类别:[財務金融學系暨研究所] 期刊論文

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