The Application of Sentiment Indicators on Taiwan Stock Market

Autor: You-Ru Lin, 林祐如
Rok vydání: 2013
Druh dokumentu: 學位論文 ; thesis
Popis: 101
The investors in the capital market usually learn and introspect themselves through their past trading experience. Furthermore, investors will reflect their sentiment on trading behaviors. But the classical financial theory doesn''t take the investor sentiment as considerations. In classical financial theory, it is believed that investors are all rational traders. Therefore, this research collects the data of trading information in the stock market, analyzes the interactive relationship between investor sentiment and Taiwan stock market returns, and sets up the simulated trading strategy. The results shows that the change rate of margin, odd-lot ratio, put/call ratio, VIX, the change rate of foreign investor net buy and the change rate of dealer net buy show leading relationship with the future Taiwan stock market returns in Granger causality test, but ARMS, the change rate of short-selling and the change rate of investment trust net buy show lag relationship with the future Taiwan stock market returns. Divide the investor sentiment variables above into three types, and extract investor common sentiment by principal component analysis, we find that derivative financial market sentiment indicator is bearish indicator within 10 days, the professional investors sentiment indicator is bullish indicator, and the individual investors sentiment indicator is bullish indicator within 3 days. By the simulated trading strategy, we can find that making use of the derivative financial market sentiment indicator and professional investors sentiment indicator to buy or short in extreme optimism or pessimism could obtain better rate of return, but making use of the individual investors sentiment indicator obtain better rate of return to buy or short at the sentiment turn to optimism or pessimism.
Databáze: Networked Digital Library of Theses & Dissertations
Externí odkaz: