過去文獻已證實，當市場上出現投資人情緒指標的負面消息時，會引起投資人
的拋售行為，進而使投資人基於易得性法則（Availability heuristic），選擇顯著性
(Salience)較高的公司股票出售，並導致該類型公司股票價格下滑，使股票報酬率產
生負向效果（Negativity effect）。本研究以美國消費者情緒指數(Index of Consumer
Sentiment；以下簡稱ICS)作為衡量投資者情緒指標，以美國顧客滿意度指數
(American Customer Satisfaction Index；以下簡稱ACSI)衡量公司之顯著性。實證結
果發現：當公司之顧客滿意度指數(ACSI)為高時，在消費者情緒指數(ICS)宣告為
負向變動的情況下，會對該類型公司之股票報酬率產生負向效果。
本研究進一步將樣本期間區分為「實施量化寬鬆貨幣時期」與「非實施量化寬
鬆貨幣時期」，探討實施量化寬鬆貨幣政策是否會影響原先高顯著性公司的負向效
果？實證結果發現：實施量化寬鬆貨幣政策，對投資人情緒與投資決策有較大的影
響，導致股票市場原有的現象或投資行為模式因此發生改變，進而使高顯著型公司
股票報酬率的負向效果減弱。

Previous studies have demonstrated that upon announcement of bad sentiment news,
investors are inclined to sell the stocks of the corporates with higher salience according
to the Availability Heuristic, which will result in the falling stock price of such corporates
and generate negativity effect on the stock return rate. This study was conducted with the
Index of Consumer Sentiment as a measure of investor sentiment and American Customer
Satisfaction Index as a measure of salience. The empirical result shows that when
company's American Customer Satisfaction Index is high, the Consumer Sentiment Index
declared a negative change will result in the stock return of such corporates show negative
effects.
This study also divided the sample periods into "the implementation of quantitative
easing" and "non-implementation of quantitative easing" to examine whether the
implementation of quantitative easing monetary policy will affect the negative effect of
the original high-salience corporates. The empirical result shows that the implementation
of quantitative easing monetary policy will change the sentiment of investors and
investment decision. Resulting in the change original phenomenon of the stock market or
investment behavior. The negative effect of the market return of high-salience corporates
will therefore been weakened.

論文審定書 ..................................................................................................................... ⅰ
摘要 ................................................................................................................................ ⅱ
Abstract ............................................................................................................................ ⅲ
目錄 ................................................................................................................................ ⅳ
圖次 ................................................................................................................................ ⅴ
表次 ................................................................................................................................ ⅵ
第一章 緒論 .......................................................... 1
第一節 研究動機 ..................................................... 1
第二節 研究架構 ..................................................... 4
第二章 文獻探討與假說建立 ........................................... 5
第一節 負向效果 ..................................................... 5
第二節 顯著性與易得性法則 ........................................... 7
第三節 顧客滿意度的顯著性 ........................................... 8
第四節 量化寬鬆貨幣政策對股票市場之影響 ............................. 9
第五節 假說建立 .................................................... 11
第三章 研究方法與實證模型 .......................................... 13
第一節 衡量顯著性指標：美國顧客滿意度指數 .......................... 13
第二節 衡量情緒性指標：消費者情緒指數 .............................. 17
第三節 測試負向效果的實證模型 ...................................... 20
第四節 量化貨幣寬鬆時期負向效果的實證模型 .......................... 21
第四章 實證結果與分析 ............................................... 23
第一節 測試負向效果的實證結果分析 .................................. 23
第二節 量化貨幣寬鬆時期負向效果的實證結果分析 ...................... 29
第三節 實證結果彙總 ................................................ 34
第五章 結論與建議 ................................................... 36
第一節 結論 ........................................................ 36
第一節 研究限制與建議 .............................................. 38
參考文獻 ............................................................ 39

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