後續建議

第二節 第二節 後續建議 後續建議 後續建議 後續建議

世新大學的「台灣投資人情緒指數調查」從 2004/1/1 至 2009/2/27 的資料頻率 為兩個月期，兩個月裡頭的天氣變化、股市行為無法藉由平均值完全闡述，但是 如果僅取 2009/10/16 之後的週頻率資料，則樣本略顯不足。但是隨著世新大學調 查次數的增加，樣本充足的狀況下，往後研究可僅取週頻率資料。除此之外，如 果能將投資人以性別區分，更能明確分析不同性別下，投資人情緒的差異。

參考文獻 參考文獻 參考文獻 參考文獻

一、中文部分

[1] 王錦瑩、劉玉珍、林晏竹（2007），「散戶情緒與股票報酬：台灣股市實證研 究」，2007 年行為財務學暨新興市場理論與實務研討會。

[2] 李春安、羅進水與蘇永裕（2006），「動能策略報酬、投資人情緒與景氣循環 之研究」，財務金融學刊，14：2，73-109。

[3] 李倩鋒（2008），「股票市場報酬率與天氣變化之關聯性分析-以八大工業國與 中國股市為例」，碩士論文，銘傳大學財務金融學系。

[4] 李小晗（2009），「中國股票市場的月相效應檢驗-基於心理學視角的研究」，

碩士論文，上海財經大學會計學院。

[5] 李源明、王冠閔（2009），「陽光效應對股票報酬與波動的不對稱影響-以台灣 股市為例」，2009 年經濟學會年會。

[6] 周賓凰、張宇志、林美珍（2007），「投資人情緒與股票報酬互動關係」，證券 市場發展季刊，

20:1，1-39。

[7] 陳達勳（2001），「市場情緒與股票報酬之研究」，碩士論文，國立政治大學國 際貿易學系。

[8] 陳榮貴（2007），「以非線性動態調整模式探討台灣股市與天氣因素的關係」， 碩士論文，銘傳大學財務金融學系。

[9] 郭敏華、李謙（2005），「陽光影響投資情緒？以台灣股票市場為例」，台灣金 融財務季刊，6：2，35-51。

[10] 許惠珠（2009），「Essays on finance」，博士論文，台灣大學財務金融學系。

[11] 趙元顥（2008），「證券報酬是否受到天氣因素之影響 -全球證券市場縱橫資

料之實證分析」，碩士論文，銘傳大學財務金融學系。

[12] 趙振瑛、郭逎鋒、張佩惠（2009），「情緒指標對台股報酬波動之影響：分量

迴歸分析」，2009 年台灣經濟學會年會論文，1-19。

[13] 鄭高輯、林泉源（2010），「投資人情緒對投機型股票報酬之影響」，商略學報，

2：1，21-35。

[14] 賴翰群（2009），「台灣股票市場天氣效應之實證研究」，碩士論文，台灣

大學國家發展學系 。

二、英文部分

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[6] Black, F., 1986, Noise, Journal of Finance, 41, 529-543.

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[8] Campbell, J. Y., S. J. Grossman and J. Wang, 1994, Trading Volume and Serial Correlation in Stock Returns, Quarterly Journal of Economics, 108, 905-939 [9] Cao,M. and J. Wei, 2005, Stock Market Returns: A Note on Temperature

Anomaly, Journal of Banking&Finance, 29, 1559-1573

[10] Chang S.C., S.S. Chen, R.K. Chou, and Y.H. Lin, 2008, Weather and Intraday Patterns in Stock Returns and Trading Activity, Journal of Banking & Finance, 32, 1754-1766

[11] Clore G. L. and G. Parrott, 1991, Moods and Their Vicissitudes: Thoughts and Feelings as Information, Emotion and Social Judgments, J. P. Forgas (Eds.) , Elmsford, NY: Pergamon Press, 107-123

[12] Conrad, J., A. Hameed, and C. Niden, 1994, Volume and Autocovariances in Shorthorizon Individual Security Returns, Journal of Finance, 49, 1305-1330 [13] Cooke, L., M. Rose, and W. Becker, 2000, Chinook Winds and Migrane

Headache, Neurology, 54, 302-307

[14] Coval, J.D. and T. Shumway, 2005, Do Behavioral Biases Affect Prices?, Journal

of Finance, 60(1), 1-34

[15] Delong, J.B., A. Shleifer, L.H. Summers, and R.J. Waldmann, 1990, Noise Trader Risk in Financial Markets, Journal of Political Economy, 98, 703-738

[16] Dichev, I. D. and T.D. Janes, 2003, Lunar Cycle Effects in Stock Returns, Journal of Private Equity, 6, 8-29

[17] Fama, E.F., 1965, The Behavior of Stock Market Price, Jounral of Business, 38, 34-105

[18] Fields, M.J., 1931, Stock Prices: A Problem in Verification, Journal of Business, 7, 36-48

[19] Fisher, K.L. and M. Statman, 2000, Investor Sentiment and Stock Returns, Financial Analysts Journal, 56(2), 16-23

[20] Forgas, J.P., 1995, Mood and Judgment: The Affect Infusion Model (Aim), Psychological Bulletin, 117, 39-66

[21] French, K., 1980, Stock Returns and the Weekend Effect, Journal of Financial Economics, 8, 55-69

[22] Frijda, N.,1988, The Laws of Emotion, Cognition and Emotion, 1, 235-258

[23] Gregory, W.B. and M.T. Cliff, 2004, Investor Sentiment and the Near-Term Stock Market, Journal of Empirical Finance, 11, 1-27

[24] Harlow, W.V. and K.C. Brown, 1990, Understanding and Assessing Financial Risk Tolerance: A Biological Perspective, Financial Analysts Journal, 46, 50-62 [25] Hicks-Caskey, W.E. and D.R. Potter, 1991, Weekends and Holidays and

Acting-Out Behavior of Developmentally Delayed Women: A Reply to Dr.Mark Flynn, Perceptual&Motor Skills, 74, 1375-1380

[26] Hirshleifer, D., 2001, Investor Psychology and Asset Pricing, Journal of Finance, 56(4), 1533-1598

[27] Hirshleifer, D. and T. Shumway, 2003, Good Day Sunshine: Stock Returns and the Weather, Journal of Finance, 58, 1009-1032

[28] Howarth,E. and M.S. Hoffman, 1984, A Multidimensional Approach to the Relationship Between Mood and Weather, British Journal of Psychology, 75, 15-23

[29] Isen, A. M., 1993, Positive Affect and Decision Making, Handbook of Emotions.

Lewis, M. & Haviland, J. (Eds.), The Guilford Press: New York, 261-277 [30] Jones, C., 2001, A Century of Stock Market Liquidity and Trading Costs,

Working paper, Columbia University

[31] Johnson, E.J. and A. Tversky, 1983, Affect, Generalization, and the Perception of Risk, Journal of Personality and Social Psychology, 45, 20-31

[32] Kamstra, M.J., L.A.Kramer, and M.D.Levi, 2000, Losing Sleep at the Market:

The Daylight-Savings Anomaly, American Economic Review, 90(4), 1000-1005 [33] Kamstra, M. J., L. A. Kramer, and M.D. Levi., 2003, Winter Blues: Seasonal

Affective Disorder and Stock Market Returns, American Economic Review, 93(1), 324-343

[34] Kang, S.H., Z. Jiang, S.M. Yoon, 2010, Weather Effects on the Returns and Volatility of Hong Kong and Shenzhen Stock Markets, The Association of Korean Economic Studies Working Paper

[35] Kaniel, R.,G. Saar and S. Titman, 2004, Individual Investor Sentiment and Stock Returns, Unpublished Working Paper, Duke University

[36] Keef, S.P. and M.L. Roush, 2005, Influence of Weather on New Zealand Financial Securities, Accounting and Finance, 45, 415-437

[37] Keef, S. P. and M. L. Roush, 2007, Daily Weather Effects on the Returns of Australian Stock Indices, Applied Financial Economics, 17, 173-184.

[38] Kirvelyova, A. and C. Robotti, 2003, Playing the Field: Geomagnetic Storms and International Stock Markets, Working Paper

[39] Kothers , T. and J.N. Patel, 1999, A New Time-of-the-Month Anomaly in Stock Index Returns, Applied Economics Letters, 6, 115-120

[40] Kumar, A. and C.M.C. Lee, 2006, Retail Investor Sentiment and Return Comovements, Journal of Finance, 61, 2451-2486

[41] Lakonishok, J. and S. Smidt, 1988, Are Seasonal Anomalies Real: A Ninety Year Perspective, Review of Financial Studies, l, 403-425

[42] Lee, C.M.C., A. Shleifer and R.H. Thaler, 1991, Investor Sentiment and the Closed-End Fund Puzzle, Journal of Finance, 46, 75-109

[43] Loewenstein, G.F., 2000, Emotion in Economic Theory and Economic Behavior, American Economic Review, 65, 426-432

[44] Loewenstein, G.F., E.U. Weber, C.K. Hsee, and N. Welch, 2001, Risk as Feelings, Psychological Bulletin, 127(2), 267-86

[45] Nastos, P.T., A.G. Paliatsos, V.P. Tritakis, and A. Bergiannaki, 2006,

Environmental Discomfort and Geomagnetic Field Influence on Psychological

Mood in Athens, Greece, Indoor and Built Environment,15, 365-372

[46] Neal, R. and M.W. Simon, 1998, Do Measures of Investor Sentiment Predict Returns, Journal of Financial and Quantitative Analysis, 33, 523-547

[47] Neal, R.D.and M. Colledge, 2000, The Effect of the Full Moon on General Practice Consultation Rates, Family Practice, 17(6), 472-474

[48] Odean, T., 1998, Are Investors Reluctant to Realize Their Losses?, Journal of Finance, 53, 1775-1798

[49] Odean, T., 1999, Do Investors Trade Too Much?, American Economic Review, 89, 1279-1298

[50] Palinkas, L. A. and M. Houseal, 2000, Stages of Change in Mood and Behavior during A Winter in Antarctica, Environment and Behavior, 32, 128-141.

[51] Polychronopoulos, P., A.A. Argyriou, and V. Sirrou, 2006, Lunar Phases and Seizure Occurrence, just an ancient legend?, Neurology, 66(9), 1442-1443 [52] Raison, C.L., H.M. Klein, and M. Steckler, 1999, The Moon and Madness

Reconsidered, Journal of Affective Disorders, 53, 99-106

[53] Robert, J.S., 2003, From Efficient Markets Theory to Behavioral Finance, Journal of Economics Perspective, 17, 83-104

[54] Rotton, J. and I.W. Kelly, 1985, A Scale for Assessing Belief in Lunar Effects:

Reliability and Concurrent Validity, Psychological Reports, 57, 239-245 [55] Saunders, E.M.J., 1993, Stock Prices and Wall Street Weather, American

Economic Review, 83, 1337-1345

[56] Schwarz, N. and G.L. Clore, 1983, Mood, Misattribution, Judgments of

Well-Being: Informative and Directive Functions of Affective States, Journal of Personality and Social Psychology, 45, 513-523

[57] Schwarz, N., 1990, Feelings as Informational and Motivational Functions of Affective States, in R. Sorrentino, and E.T.Higgins, Ed.: Handbook of Motivation and Cognition, 2, 527-561

[58] Schwarz, N. and H. Bless, 1991, Happy and Mindless, but Sad and Smart? The Impact of Affective States on Analytic Reasoning, in J.Forgas, Ed.:Emotion and Social Judgments, 55-71

[59] Schwert, G.W., 2002, Anomalies and market efficiency, NBER Working Paper [60] Dubner, S.J. and S.D. Levitt, The Price of Climate Change, The New York Times,

November 5, 2006

[61] Swaminathan, B., 1996, Time-Varying Expected Small Firm Returns and Closed-End Fund Discounts, Review of Financial Studies, 9, 845-887

[62] Yoon, S.-M. and S. H. Kang, 2009, “Weather Effects on Returns: Evidence from the Korean Stock Market,” Physica A, 388, 682–690.

[63] Yuan, K., L. Zheng, and Q. Zhu, 2002, Are Investors Moonstruck? Lunar Phases and Stock Returns, University of Michigan Business School Working Paper

三、相關網站

[1] Psytopic http://www.psytopic.com

[2] 北京 466 醫院網 http://www.81988888.com [3] 商業週刊 www.businessweekly.com.tw [4] 中國氣象局 http://www.cma.gov.cn [5] 阿里醫藥網 http://xnxg.aliyiyao.com [6] 百度百科 http://baike.baidu.com

[7] 地面氣象公司 http://www.wunderground.com [8] 世新大學部落格 http://blog.cnyes.com/My/shinfin

附錄一 世新大學台灣投資人情緒指數

有鑑於國內缺乏直接投資人情緒的蒐集，世新大學於 2003 年底，針對散戶投 資人進行「台灣投資人情緒指數」調查。調查對象為「過去一年內曾買賣股票之 18 歲以上個人」。此一對象定義不同於美國與歐盟（可投資資產 US$10,000 以 上），主要是基於台灣股市的組成以散戶為主，但在調查內容上則仿照歐美的 UBS Paine Webber 證券經紀商投資人樂觀指數，以利與國際接軌。該指數主要是由世 新大學財務金融系主辦，委託世新大學民意調查研究中心以電話訪問方式進行，

但於 2009/10/16 之後，改以網路方式進行調查。抽樣方式按台灣各縣市之證券商 家數採分層比例抽樣。

此項調查分成二大部份，分為個人經濟面向與總體經濟面向，加權得到的分 數分別為個人指數(PI)、經濟指數(EI)，而兩者得到的分數相加則為投資人情緒指 數(OI)。其答題配分如下：

A.非常樂觀(+2)、B.有點樂觀(+1)、C.中性(0)、D.有點悲觀(-1)、E.非常悲觀(-2)。

依照上述配分進行加權平均，再按照問項類別得出 PI 與 EI 的分數。其主要問 項如下：

1、、、、個人指數問項個人指數問項個人指數問項個人指數問項

a. 整體而言，請問您對於未來三個月內能不能達到您股票投資個人目標，樂 觀程度如何？

b. 整體而言，請問您對於未來一年內能不能達到股票投資個人目標，樂觀程 度如何？

c. 請問未來一年內您收入能維持在目前指數以上樂觀程度如何？

2、、、、經濟指數問項經濟指數問項經濟指數問項經濟指數問項

a. 請問您對於未來半年內經濟成長率，您樂觀程度如何？

b. 請問您對於未來 3 個月內失業率，您樂觀程度如何？

c. 請問您對於未來 3 個月內股市表現，您樂觀程度如何？

d. 請問您認為物價變動(上漲、下跌或不變)對股市投資影響，您看法如何？