| 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 | en |
| ISSN | 1017-1819 |
| 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 | TWN |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/92792 ) |
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