本研究針對2001年1月至2015年12月間台灣上市、上櫃公司之普通股，挑選出高顯著性之股票，並利用台灣消費者信心指數構成項目中的「未來半年投資股票時機」作為衡量投資人情緒的代理變數，試圖了解投資人情緒與高顯著性股票報酬間之不對稱關係，實證結果顯示，當股票具有高度顯著性時，投資人情緒與股票報酬間存在不對稱關係，且投資人情緒變動為負時產生的負向效果，大於變動為正時的正向效果；本研究進一步探討，去了解不同市場狀態下，投資人情緒對高顯著性股票報酬之影響，實證結果顯示，當市場狀態為樂觀且投資人情緒變動為正向，其高顯著性股票報酬為正；反之，當市場狀態為悲觀且投資人情緒變動為負向，其高顯著性股票報酬為負。此一發現可供投資人做投資決策時，做為參考依據，使其交易行為更為完善。

The study of the high salience stocks is selected from common stocks of the Taiwan Listing Appliances Company from January 2001 to December 2015 and utilizes the Taiwan consumer confidence index:「Opportunity to invest stocks in the next six months」to measure the proxy variable of the investor sentiment, in order to study the asymmetric relationship between investor sentiment and returns of the high salience stocks. Our research indicates that the relationship is asymmetric when the stocks represent high salience, furthermore, when the investor sentiment becomes negative, the negative effect on the returns of the high salience stocks are greater than the positive effect of the investor sentiment becomes positive. The latter part of this study is divided into the market state to understand the impact of investor sentiment on high salience stocks returns in different market conditions. The research shows when the market condition is optimistic and investor sentiment becomes positive, the returns of the high salience stocks are positive; conversely, when the market state is pessimistic and the investor sentiment becomes negative, the returns of the high salience stocks are negative. This results can be used as a reference to make investor’s trading behavior more perfect for decision making.

摘要...................................................i
Abstract...................................................ii
目錄...................................................iii
圖目錄...................................................iv
表目錄...................................................v
第一章 緒論...................................................1
第二章 文獻回顧...................................................3
第一節 投資人情緒...................................................3
一、投資人情緒與股票報酬之關係...................................................3
二、投資人情緒之衡量...................................................3
第二節 股票顯著性...................................................6
第三節 市場狀態與投資人情緒之關係...................................................8
第三章 假說建立...................................................9
第四章 研究方法...................................................11
第一節 資料來源...................................................11
第二節 變數介紹...................................................12
第三節 敘述性統計...................................................13
第四節 模型建構...................................................15
第五章 實證結果...................................................17
第一節 台灣股市指數報酬與投資人情緒間的不對稱關係...................................................17
第二節 高顯著性股票報酬與投資人情緒間的不對稱關係...................................................19
第三節 不同的市場狀態下投資人情緒與股票報酬間的不對稱關係...................................................26
第四節 穩健性測試...................................................29
第六章 結論及建議...................................................32
第一節 結論...................................................32
第二節 研究建議...................................................34
參考文獻...................................................35

中文文獻
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
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郭迺鋒、劉名寰、蔡獻逸、林筱寧及鄭如君，2008，臺灣民眾自我預期實現之實
證分析貨幣觀測與信用評等，第72期：36-49。
徐之強、葉錦徽(2009)，台灣消費者信心指數與景氣循環關係之探討，行政院經濟建設委員會。

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