教師資料查詢 | 類別: 期刊論文 | 教師: 莊武仁 CHUANG WU-JEN (瀏覽個人網頁)

標題:The Impact of Investor Sentiment on Excess Returns: A Taiwan Stock Market Case
學年98
學期2
出版(發表)日期2010/03/01
作品名稱The Impact of Investor Sentiment on Excess Returns: A Taiwan Stock Market Case
作品名稱(其他語言)
著者Chuang, Wu-Jen; Ouyang, Liang-Yuh; Lo, Wen-Chen
單位淡江大學財務金融學系
出版者臺北縣淡江大學
著錄名稱、卷期、頁數International Journal of Information and Management Sciences=資訊與管理科學 21(1), pp.13-28
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.
關鍵字Trading Volume; Investor Sentiment; Excess Returns
語言英文
ISSN1017-1819
期刊性質國際
收錄於EI;TSSCI
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式紙本
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