本研究採用門檻模型來探討S&P 500、債券、黃金與網路搜尋行為，在美國Fed升息期間、降息期間以及QE期間是否存在非線性關係，Kontonikas, MacDonald, and Saggu (2013)指出當貨幣政策改變時，將會改變投資人對於未來經濟情況的預期，因此我們認為投資人會對資產價格產生正向或是負向的價格壓力取決於他們對於未來經濟情況的預期。
本文實證結果得到以下結論：(1)當Fed剛開始升息時，S&P 500與網路搜尋行為之間並無顯著關係，而當升息到達一定門檻時兩者呈現出反向關係；(2)在Fed降息時，門檻前與門檻後皆呈現出不顯著的關係，但當降息到一定門檻時，黃金網路搜尋行為與黃金報酬率呈現正向的變動關係，債券網路搜尋行為與債券殖利率呈現反向關係，代表著在經濟不穩定的後期，市場上投資人確實會把資金轉向相對安全的市場避險；(3)在Fed剛開始推行QE時，大把的鈔票流入市場中，使得S&P 500與網路搜尋行為呈現出正向關係，而當推行到一定門檻時，兩者則又回歸不顯著。且因為QE在近期的持續加碼，使得投資人也開始投資於黃金市場以對抗未來通貨膨脹可能帶來的影響，意味著資產價格的變化會受到投資人對於未來經濟條件的預期。
本研究結果顯示出股價指數、債券殖利率、黃金報酬率與網路搜尋行為之間確實呈現出非線性的關係，此結果可供散戶投資人在進行投資管理的重要依據。

By using threshold model, we examine the non-linear effect of web search activities on assets including S&P 500, bond, and gold during these three periods, raising interest rate period, cutting interest rate period and QE policies period.
According to Kontonikas et al. (2013), investor will adjust their expectation of future economy when monetary policy change, so we think that investors could create either a positive or negative price pressure, depending on the investor concern with future economic conditions.
The result indicated that when the Federal Reserve began to raise interest rate, there didn’t exist any relationship between web search activity and S&P 500 index. After interest rate climbed climb above a certain threshold, the relationship between web search activity and S&P 500 index returns would be negative.
During the cutting interest rate period, web search activities didn’t have significantly impact on S&P 500 index. However, after interest rate climbed above a certain threshold, we can find that investors increased their demand for safe-haven assets.
When Federal Reserve began to carry out QE policies, web search activities can indeed boost S&P 500 return, but the relationship will be weaker after interest rate climbed climb above a certain threshold. On the other hand, investor will expect that the inflation would be higher due to consequence of QE policies. Therefore, they will invest into gold market to resist higher inflation.
This study finds that there exists non-linear effect between web search activities and assets including S&P 500 index, bond, and gold. It can provide investment strategies for stock investors.

[學位審定書 i]
[摘要 ii]
[Abstract iii]
[第一章緒論 1]
[1.1研究動機與簡介 1]
[1.2 研究目的 3]
[第二章文獻回顧 5]
[2.1 投資人關注度 5]
[2.2投資人在不同市場狀態下對於股票的影響 6]
[第三章資料與研究方法 10]
[3.1資料期間 10]
[3.2 變數定義 10]
[3.2.1 Search volume index (投資人關注度) 10]
[3.2.2未預期利率變化 11]
[3.2.3 報酬率 11]
[3.3研究方法 12]
[3.3.1 單根檢定 12]
[3.3.2 線性迴歸模型 12]
[3.3.3 門檻迴歸模型 13]
[第四章實證結果 16]
[4.1敘述性統計 16]
[4.2 相關係數 17]
[4.3 單根檢定 19]
[4.4線性迴歸模型 19]
[4.5 門檻迴歸模型 24]
[第五章結論 30]
[參考文獻 32]

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