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研究生: 李律昕
Lee, Lu-Hsin
論文名稱: 新聞情緒及關注程度對台灣證券市場影響之探討
The Analysis of the Impact of News Sentiment and Attention on Taiwan's Security Market
指導教授: 周德瑋
Chou, De-Wai
口試委員: 陳達新
Chen, Dar-Hsin
詹佳縈
Chan, Chia-Ying
周德瑋
Chou, De-Wai
口試日期: 2022/06/29
學位類別: 碩士
Master
系所名稱: 管理研究所
Graduate Institute of Management
論文出版年: 2022
畢業學年度: 110
語文別: 中文
論文頁數: 47
中文關鍵詞: 文字探勘新聞情緒搜尋量指數廻歸分析
英文關鍵詞: Text mining, Sentiment analysis, Search Volume Index, Regression analysis
研究方法: 文字探勘迴歸模型
DOI URL: http://doi.org/10.6345/NTNU202200699
論文種類: 學術論文
相關次數: 點閱:158下載:46
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  • 新冠疫情不僅改變了一般民眾的生活型態,也對台灣證券市場造成巨大的影響,2021年5月台灣疫情爆發,負面新聞帶來的恐慌情緒在廣大投資群眾間蔓延,也因此創下了加權指數單日最高跌幅的歷史紀錄。負面情緒使得許多績效優秀的個股受到非理性的股價重挫,可見投資人情緒及事件的關注程度對金融市場影響甚劇。本文將新聞文本中的文字情緒量化,並結合網路搜索量的變化率,以迴歸模型探討2019年初至2021年底之間的個股新聞及關注程度對於台灣證券市場的影響。實證結果顯示新聞情緒及關注程度對於個股報酬率、流動性、機構投資人的交易行為皆有顯著的正面影響。

    Covid-19 has not only changed our daily life but also hugely impacted the Taiwan stock market. In May 2021, the epidemic broke out in Taiwan. The panic caused by negative reporting spread among most of the investors, which caused the most tremendous shock in the Taiwan securities market. Negative sentiment caused many high-performing stocks to suffer irrational stock price crashing, demonstrating that investors’ sentiment and attention to the events have a significant impact on financial markets. This research quantifies the textual sentiment in news texts and combines the rate of change in search volume index, and then uses a regression model to explore the impact of news and the level of concentration on the Taiwan stock market from early 2019 to the end of 2021. The empirical results show that news sentiment and attention have significant positive effects on stock returns, liquidity, and institutional investors' trading behavior.

    致謝 i 摘要 ii 目錄 iv 表目錄 vi 圖目錄 vii 第一章、緒論 1 第一節、研究背景與動機 1 第二節、研究目的 4 第二章、文獻探討及假說 5 第一節、投資人情緒相關文獻 5 第二節、新聞情緒相關文獻 7 第三節、投資人關注程度相關文獻 8 第三章、研究方法 9 第一節、資料來源及研究對象 9 第二節、定義情緒變數 11 第三節、建構綜合指標 13 第四節、其它控制變數 14 第五節、迴歸分析 17 第四章、實證結果 20 第一節、敘述統計 20 第二節、綜合指標對個股報酬率之影響 21 第三節、綜合指標對個股流動性影響 28 第四節、綜合指標對機構投資人交易行為之影響 34 第五章、結論與建議 41 第一節、研究結論 41 第二節、研究限制與建議 42 附錄 43 參考文獻 44 一、中文部分 44 二、英文部分 45

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