研究生: |
胡芯瑜 Hu, Hsin-Yu |
---|---|
論文名稱: |
新冠肺炎疫情期間恐懼情緒與股市流動性之探討 The Relationship between Fear Sentiment and Stock Liquidity during the COVID-19 Pandemic |
指導教授: |
周德瑋
Chou, De-Wai |
口試委員: |
周德瑋
Chou, De-Wai 王衍智 Wang, Yan-Zhi 陳達新 Chen, Dar-Hsin 林霖 Lin, Lin |
口試日期: | 2023/07/03 |
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: | 2023 |
畢業學年度: | 111 |
語文別: | 中文 |
論文頁數: | 34 |
中文關鍵詞: | 投資人情緒 、股市流動性 、全球恐懼指數 、新冠肺炎 |
英文關鍵詞: | Investor Sentiment, Stock Liquidity, Global Fear Index, COVID-19 |
研究方法: | 次級資料分析 |
DOI URL: | http://doi.org/10.6345/NTNU202300937 |
論文種類: | 學術論文 |
相關次數: | 點閱:112 下載:0 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本研究主要探討在新冠肺炎疫情期間,投資人的恐懼情緒對台灣股票市場流動性的影響。同時我們還探究利用全球性的情緒指標相較於本地的情緒指標是否更能顯著影響本地股票市場的流動性。我們參考 Salisu and Akanni (2020)所提出的 COVID-19 全球恐懼指數 (Global Fear Index),利用 COVID-19 相關資料建構指數以衡量投資人情緒,並以Amihud 非流動性指標及周轉率作為股票市場流動性的代理變數,實證結果顯示在疫情期間,投資人的恐懼情緒對股票市場流動性會有顯著的負面影響,且全球性的情緒指標比起本地的情緒指標會有更顯著的影響。
This study primarily investigates the impact of investors’ fear sentiment on stock
market liquidity in Taiwan during the COVID-19 pandemic. Additionally, I explore whether utilizing global sentiment indicators significantly affects the liquidity of the local stock market compared to local sentiment indicators. I make reference to the COVID-19 Global Fear Index proposed by Salisu and Akanni (2020), and construct an index using COVID-19 data to measure investor sentiment. I utilize the Amihud illiquidity ratio and turnover ratio as proxy variables for stock market liquidity. The empirical results show that investors’ fear sentiment has a significant negative impact on stock market liquidity during the pandemic, and the global sentiment indicators have a more significant effect than local sentiment indicators.
周賓凰, 張宇志, 林美珍. (2019). 投資人情緒與股票報酬互動關係. 證券市場發展季刊: 行為財務學特別專刊, 153.
周賓凰, 池祥萱, 周冠男, 龔怡霖. (2019). 行為財務學: 文獻回顧與展望. 證券市場發展季刊: 行為財務學特別專刊, 1.
Ahmed, S. & Ullah, N. (2013). Investor sentiment and stock market dynamics: A case of Pakistan. Journal of Public Administration, Finance and Law, 4(4), 126-135.
Amihud, Y. & Mendelson, H. (1986). Liquidity and stock returns. Financial Analysts Journal, 42(3), 43-48.
Amihud, Y., Mendelson, H. & Pedersen, L. H. (2006). Liquidity and asset prices. Foundations and Trends® in Finance, 1(4), 269-364.
Baker, M. & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance, 61(4), 1645-1680.
Baker, M., Wurgler, J. & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of Financial Economics, 104(2), 272-287.
Baker, S. R., Bloom, N., Davis, S. J. & Terry, S. J. (2020). Covid-induced economic uncertainty (No. w26983). National Bureau of Economic Research.
Brennan, M. J., Chordia, T., Subrahmanyam, A. & Tong, Q. (2012). Sell-order liquidity and the cross-section of expected stock returns. Journal of Financial Economics, 105(3), 523-541.
Brown, G. W. & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.
Chang, Y. Y., Faff, R. & Hwang, C. Y. (2010). Liquidity and stock returns in Japan: New evidence. Pacific-Basin Finance Journal, 18(1), 90-115.
Chebbi, K., Ammer, M. A. & Hameed, A. (2021). The COVID-19 pandemic and stock liquidity: Evidence from S&P 500. The Quarterly Review of Economics and Finance, 81, 134-142.
Chiang, T. C., & Zheng, D. (2015). Liquidity and stock returns: Evidence from international markets. Global Finance Journal, 27, 73-97.
Chordia, T., Sarkar, A. & Subrahmanyam, A. (2005). An empirical analysis of stock and bond market liquidity. The Review of Financial Studies, 18(1), 85-129.
Chung, K. H. & Chuwonganant, C. (2014). Uncertainty, market structure, and liquidity. Journal of Financial Economics, 113(3), 476-499.
Corredor, P., Ferrer, E. & Santamaria, R. (2015). The impact of investor sentiment on stock returns in emerging markets: The case of Central European Markets. Eastern European Economics, 53(4), 328-355.
Datar, V. T., Naik, N. Y. & Radcliffe, R. (1998). Liquidity and stock returns: An alternative test. Journal of Financial Markets, 1(2), 203-219.
De Long, J. B., Shleifer, A., Summers, L. H. & Waldmann, R. J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.
Dey, M. K. (2005). Turnover and return in global stock markets. Emerging Markets Review, 6(1), 45-67.
Donadelli, M., Kizys, R. & Riedel, M. (2017). Dangerous infectious diseases: Bad news for Main Street, good news for Wall Street?. Journal of Financial Markets, 35, 84-103.
Edmans, A., Fernandez-Perez, A., Garel, A. & Indriawan, I. (2022). Music sentiment and stock returns around the world. Journal of Financial Economics, 145(2), 234-254.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Fernandez-Perez, A., Garel, A. & Indriawan, I. (2020). Music sentiment and stock returns. Economics Letters, 192, 109260.
Gervais, S. & Odean, T. (2001). Learning to be overconfident. The Review of Financial Studies, 14(1), 1-27.
Granger, C. W. & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120.
Huynh, T. L. D., Foglia, M., Nasir, M. A. & Angelini, E. (2021). Feverish sentiment and global equity markets during the COVID-19 pandemic. Journal of Economic Behavior & Organization, 188, 1088-1108.
Kai-Ineman, D. & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 363-391.
Lam, K. S. & Tam, L. H. (2011). Liquidity and asset pricing: Evidence from the Hong Kong stock market. Journal of Banking & Finance, 35(9), 2217-2230.
Lee, J., Ryu, D. & Kutan, A. M. (2016). Monetary policy announcements, communication, and stock market liquidity. Australian Economic Papers, 55(3), 227-250.
McKibbin, W. J. & Fernando, R. (2020). Global macroeconomic scenarios of the COVID-19 pandemic. CAMA Working Paper, 62.
Nabil, M., & Elalfy, A. H. (2022). The effect of COVID-19 fear sentiment on banks’ performance in emerging markets. International Business Research, 15, 39-52.
Naik, P. & Reddy, Y. V. (2021). Stock market liquidity: A literature review. Sage Open, 11(1), 2158244020985529.
Pagan, A. R. & Wickens, M. R. (1989). A survey of some recent econometric methods. The Economic Journal, 99(398), 962-1025.
Parkinson, M. (1980). The extreme value method for estimating the variance of the rate of return. Journal of Business, 61-65.
Pástor, Ľ. & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111(3), 642-685.
Sadiq, M., Hsu, C. C., Zhang, Y., & Chien, F. (2021). COVID-19 fear and volatility index movements: empirical insights from ASEAN stock markets. Environmental Science and Pollution Research, 28, 67167-67184.
Salisu, A. A. & Akanni, L. O. (2020). Constructing a global fear index for the COVID-19 pandemic. Emerging Markets Finance and Trade, 56(10), 2310-2331.
Stein, J.C., 1996. Rational capital budgeting in an irrational world. Journal of Business, 69, 429–455.