本研究建構一個投資者情緒指標，使用台灣加權股價指數的日資料頻率與台灣指數期貨五分鐘資料頻率與研究標的。首先我們以迴歸分析探討振幅與研究標的報酬率之關係，其次再使用報酬率分析法探討異常的投資都情緒對於投資標的未來之走勢型態與波動性之影響，最後再以本指標建構交易策略之模擬。實證結果顯示，異常的投資者情緒對於標的物之未來報酬率存在影響關係。 This thesis constructed an investor sentiment index from ranges using the daily data of Taiwan weighted stock index and the five minute data of the future index. We use liner regressions to estimate the general relationship between the sentiment index and the return of stock index and future. We then use event study to discuss how the returns and volatility of stock index and future are effected by abnormal investor sentiments. Finally, we use the results to establish an investment strategy to evaluate the performance. The result shows the abnormal investor sentiments have significantly influenced the market index and index future.
