Descriptive Statistics

4. Empirical Result

The study applies the Statistical Analysis System (SAS) to analyze the data, the result of this study will be demonstrated in this chapter. The descriptive statistic of the VIXTWN, sentiment variables and control variables is shown in Section 4.1. The result of correlation analysis and regression analysis is demonstrated in Section 4.2 and 4.3 respectively.

4.1 Descriptive Statistics

Table 4-1 presents the result of descriptive statistics of all variables used in this study. The result of descriptive statistic provide us with a brief summary on the features of information that we have collected. The research period of this study is January 2007 to December 2017. From the table, we can see that the mean of VIXTWN is 20.059 and the median of VIXTWN is 17.19, in most of the time, the overall volatility of the Taiwanese market are moderate. The average VIXTWN is higher than the median of VIXTWN, this phenomenon shows that VIXTWN increase drastically during the times of financial turmoil and instabilities. The maximum value of VIXTWN is 60.41, investors’ sense of fear was extremely high on that day.

There are four local industrial sentiment variables. The mean of INQW is 18.821 and the maximum and minimum value of INQW that we obtain are 46.155 and 0.037 respectively, the number of news that we have collected fluctuates. The mean of IP and IN are 4.054 and 3.098 respectively, result shows that 4.054% of words appeared in local industries related news are positive words and 3.098% of words are negative words. The minimum value of IP is 0.152, news article published on that day rarely mentioned positive words, and positive events did not happen on that day. The minimum value of IN is 0.13, events appeared on that day were generally positive. The mean of ITONE is 0.073 and its median is 0.07. ITONE represents the strength of information illustrated by the content of the news articles. The value of news tone lies between -1 and 1, amount that close to zero represents neutral tone. The mean and median of ITONE is close to 0, overall weighted average local industries news tone is very slightly positive.

There are four sentiment variables representing the impact of issues occurred in the major global stock markets. The mean of SNQW is 3.987. SNQW is calculated by averaging the number of news collected in all major stock markets, and therefore, we have collected an average of 28 pieces of news related to issues about the global stock market daily. The mean of SP is 4.456, showing that 4.456% of stock market news

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content have used positive wordings. The mean of SN is 4.281, showing that 4.281% of stock market news content have used negative wordings. The mean and median of STONE is also close to 0, but the overall average global stock market news tone is slightly negative.

The mean of TAIEX is 8229.63, values of TAIEX lied between 4089.93 and 10854.57, and the range between data is large. The overall performance of all listed companies in Taiwan fluctuates. The mean of CCI is 74.994, values of CCI between 0 and 100 represent an overall pessimistic view towards the market in the coming six months and index above 100 points indicate optimism. The maximum value of CCI is 92.93, consumers are generally not confident on the Taiwanese market. The mean value of unemployment rate (UE) is 4.307, on average 4.307% of the labor force are unemployed. The mean INFL is 1.118, the inflation rate in Taiwan during 2007 to 2017 is not generally high. The mean value of IIP is 97.724, IIP represent the speed of industrial development and market prosperity. The mean value of PRIOR_VIX is 20.111.

PRIOR_VIX is the average amount of VIXTWN in the past 90 days, therefore, the mean of PRIOR_VIX is very close to that of VIXTWN.

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Table 4-1 Descriptive Statistics

The table listed the descriptive statistic of all variables. VIXTWN is the daily closing VIX provided by the Taiwan Future Exchange. INQW is the weighted average number of local industrial news article collected daily by using keyword-search. IP is the weighted average optimistic mood of local industrial news article daily. IN is the weighted average pessimistic mood of local industrial news article daily. ITONE is the weighted average daily news tone of local industrial news. SNQW is the average number of global major stock market news article collected daily by using keyword-search. SP is the average optimistic mood of global major stock market news article daily. SN is the average pessimistic mood of global major stock market news article daily.

STONE is the average daily news tone of global major stock market news. TAIEX is the capitalization-weighted index of all listed common shares traded in the Taiwan Stock Exchange. UE is the monthly unemployment rate in Taiwan. INFL is the monthly inflation rate in Taiwan. CCI is the monthly value of consumer confidence index in Taiwan. IIP is the index of industrial production in Taiwan. PRIOR_VIX is the average amount of VIXTWN in the past 90 days.

Variables N Mean Std. D Minimum 25th Percentile Median 75th Percentile Maximum

VIXTWN 2723 20.059 8.831 8.370 13.650 17.190 24.920 60.410

INQW 2628 18.821 6.220 0.037 14.356 17.825 22.634 46.155

IP 2628 4.054 0.916 0.152 3.441 4.025 4.665 7.775

IN 2628 3.098 0.789 0.130 2.547 3.030 3.600 6.524

ITONE 2628 0.073 0.117 -0.311 -0.007 0.070 0.150 0.471

SNQW 2621 3.987 1.810 0.143 2.571 3.714 5.000 13.429

SP 2621 4.456 1.500 0.734 3.423 4.353 5.363 10.393

SN 2621 4.281 1.571 0.518 3.126 4.145 5.306 10.559

STONE 2621 -0.025 0.139 -0.480 -0.115 -0.026 0.066 0.458

TAIEX 2722 8229.63 1233.80 4089.93 7629.52 8286.10 9007.87 10854.57

CCI 2723 74.994 10.896 48.420 67.670 78.190 82.980 92.930

UE 2723 4.307 0.651 3.620 3.870 4.080 4.370 6.130

INFL 2723 1.118 1.446 -2.340 0.260 1.100 1.700 5.800

IIP 2723 97.724 12.206 54.210 90.200 100.790 106.470 115.670

PRIOR_VIX 2723 20.111 8.245 9.991 13.914 17.370 24.859 46.903

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