The Relationship between Direct and Indirect Sentiment Index and Stock Returns
| Autor: | Yi-Jin Li, 李宜瑾 |
|---|---|
| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 In this study, "Investing stocks in the next six months" of the consumer confidence index of Taiwan is direct sentiment index, and the turnover rate is indirect sentiment index, we investigate the relationship between the direct and indirect sentiment index and stock market returns. First, we found that the relationship between the direct and indirect sentiment index and market returns is a significant positive relationship. Second, the relationship between the volatility of market returns and sentiment index are also significant relationship. Finally, when market volatility is high and positive, the direct sentiment index is most obvious effect. When market volatility is low and positive, the indirect sentiment index is most obvious effect. And the direct sentiment index and small stock returns have a significant positive relationship. When investors choose trading strategy, you can use direct and indirect sentiment index to find the most appropriate investment strategies of investors. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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