南華大學機構典藏系統:Item 987654321/28825
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    题名: 投資者情緒與股價崩盤風險之關聯
    其它题名: The Relationship between Investor Sentiment and the Risk of Stock Price Crashes
    作者: 王秀琪
    WANG, HSIU-CHI
    貢獻者: 財務金融學系財務管理碩士班
    賴丞坡
    LAI, CHENG-PO
    关键词: 股價崩盤風險;投資者情緒;臺指選擇權波動率指數
    Stock price crash risk;Investor sentiment;TVIX index
    日期: 2021
    上传时间: 2022-08-16 13:22:52 (UTC+8)
    摘要: 　　COVID-19疫情帶來恐慌情緒與消費緊縮，使得全球經濟面臨2008年金融海嘯以來最大的衰退風險。關於影響股價崩盤風險的因子，目前研究多集中在探究公司內部特徵，然而根據Chen et al.(2001)研究，投資者之間的觀點差異與崩盤風險呈正相關，因此本文從投資者的情緒切入，探討其與股價崩盤風險之關聯。本文自台灣經濟新報中，針對2017年到2019年台灣上市、上櫃公司特定的週報酬率，採用NCSKEW方法觀察各公司的股票價格崩盤風險，並探討投資者情緒指標三種：週轉率、資券餘額比和臺指選擇權波動率指數，最後採用迴歸模型檢視投資者情緒指標與股價崩盤風險之間的關係。本研究發現，週轉率對股價崩盤風險呈現正向影響，資券餘額比對股價崩盤風險則呈現負向影響，前一期臺指選擇權波動率指數與股價崩盤風險呈現顯著負向影響。
    　　The panic caused by the COVID-19 epidemic and consumer tightening have put the global economy facing the greatest risk of recession since the 2008 financial tsunami. Regarding the factors affecting the risk of stock price crashes, previous researches mostly focus on exploring the internal characteristics of companies. However, according to the research of Chen et al. (2001), the differences in opinions among investors are positively correlated with the risks of stock price crashes. Therefore, this article focuses on investor sentiment to explore its relationship with the risk of stock price collapse. This article uses the NCSKEW method to observe the stock price collapse risk of each company based on the specific weekly return rates of Taiwan listed and OTC companies from 2017 to 2019 TEJ data base, and discusses three indicators of investor sentiment which are turnover rate and financing short sale ratio and the Taiwan stock index option volatility index. The results show that the turnover rate has positive effects on risk of stock price collapse, and financing short sale ratio has negative effects on the risk of stock price collapse. The lag value of Taiwan Index Option Volatility Index (TVIX index) has negative on the risk of stock price collapse.
    显示于类别:[財務金融學系(財務管理碩士班)] 博碩士論文

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