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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:95下載:0
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  • 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.

    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 第三節 研究架構 5 第二章 文獻探討與假說建立 6 第一節 投資人情緒之衡量 6 第二節 股價報酬與流動性 7 第三節 投資人情緒對股市之影響 8 第四節 假說建立 10 第三章 研究資料與方法 11 第一節 資料來源及研究對象 11 第二節 研究變數說明 11 第三節 研究方法 18 第四章 實證結果與分析 21 第一節 單根檢定結果 21 第二節 Granger因果關係檢定 22 第三節 敘述統計與相關性 23 第四節 迴歸結果分析 24 第五章 結論與建議 29 第一節 研究結論 29 第二節 研究限制與建議 30 參考文獻 31

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