The Study on Relationship between Individual Investor Sentiment and Stocks Return
| Autor: | Shih Chieh Chao, 趙士傑 |
|---|---|
| Rok vydání: | 2008 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 96 Individual investors’ trade volumes occupy stock market about 70% and play an important role in Taiwan. General considers high portion individual investors of stock market in Taiwan have rapid variability by individual investors’ sentiment. In this paper, we study about the connection between individual investor sentiment and stocks return. We use individual investors’ buy-sell imbalance, individual investors’ turnover, day trading ratio and margin purchases ratio as individual investors’ sentiment indicators. Our study date from 2005/3/1 to 2006/6/30, and analysis of bullish and bearish. We apply Granger cause test and Vector Auto regression model to investigate the connection between individual investor sentiment and stocks return. Our empirical result show：Day trading ratio cause from stocks return is significant in bullish but margin purchase ratio is in bearish. All of individual investors’ sentiment indicators cause from stocks return is significant for 1 lag. And individual investors’ turnover is presentation. From Impulse Response Function, stock returns to buy-sell imbalance and margin purchase ratio present a negative relation at beginning; individual investors’ turnover and day trading ratio present a positive relation at beginning. From Variance Decomposition, stock returns to buy-sell imbalance and day trading ratio have better explanation. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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