碩士 / 玄奘大學 / 財務金融學系碩士班 / 99 / The stock price and return will be affected by various factors. The purpose of this study is to explore, using GARCH Model and Granger causality test, the impact of the investment sentiment on the return of stock price in Taiwan stock market when investors were facing the global financial crisis triggered by the subprime mortgage problems in the U.S.
The results of GARCH Model show that the stock price return were affected by the rates of change in trading volume change, balance of financing, balance of margin trading, future’s basis and Taiwan Volatility Index (TVIX).
The causality test has confirmed that there existed causal relations between the rates of change in trading volume of Taiwan stock market, balance of margin trading and open interest on stock option. The stock price return of Taiwan stock market would also affect the sentiment of retail investors.
In Taiwan stock market, retail investors are the major players whose sentiment dominates stock market return. This is different from foreign stock markets characterized by institutional investors whose trading strategy is not only determined by stock price return. However, the trading of institutional investors can affect market index.
| Identifer | oai:union.ndltd.org:TW/099HCU08214003 |
| Date | January 1900 |
| Creators | SHIH YU JEN, 施宥任 |
| Contributors | Dr. Yahui,Peng, 彭雅惠 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 47 |
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