股票市場與投資人情緒間的關係是行為財務學中時常被探討的問題，過去文獻大多使用市場資訊作為情緒指標。然而，隨著網際網路的發展，越來越多投資人利用網路來獲得資訊，近年有文獻分析報紙、專欄及社群網絡的文字內容來建立情緒指標，發現媒體的內容情緒會影響股票市場。本研究嘗試利用PTT股票版建立更即時的散戶投資人情緒指標，並將此情緒指標區分為正向情緒及負向情緒，觀察不同市場狀態下，散戶情緒如何影響股票市場，及利用向量自我迴歸模型觀察兩者間的領先落後關係是否會因為不同市場狀態有所不同，最終試圖利用散戶情緒預測股票市場走勢。
本研究結果發現：(1)網路討論版的情與市場報酬有所關聯，不論是情緒指標、正向情緒或負向情緒，而散戶情緒對市場報酬的影響在多空頭市場的影響沒有顯著差異。(2)在極端報酬的情況下，情緒對股票報酬的影響較一般報酬大，且在極端正報酬下，散戶情緒指標對股票市場有負向影響。(3)市場在空頭時期會領先投資人的行為，投資人行為不會領先市場，在多頭市場時，投資人行為與市場沒有領先落後關係。(4)散戶情緒指標對市場報酬的影響較短暫，無法預測市場未來走勢。

The relationship between the stock market and investor sentiment is an issue usually discussed in behavioral finance. In the past, most literature uses market information to establish sentiment indexes. Recent literature analyzes the text of newspapers, columns and social networks to create investor sentiment, and finds that the content of media will affect the stock market. This study attempts to establish retail investor sentiment from the PTT stock board, and distinguish this sentiment into positive ratio and negative ratio. We explore the impact of retail sentiment on market return, and use vector autoregression (VAR) to observe the relationship between retail sentiment and market return in different market states. Lastly, we try to predict the market trend.
Our empirical results show：(1) Online discussion boards have relative with the stock market, and the different market states have the same result. (2) Sentiment effect is stronger in extreme return situations, and retail sentiment lowers market return in extreme positive return situations. (3) The market leads investor behavior in a bear market, and there is no lead-lag effect in bull market. (4) The impact of retail sentiment on the stock market is brief, so retail sentiment cannot predict the market trend of the following day.

論文審定書 i
摘要 ii
ABSTRACT iii
I. INTRODUCTION 1
1.1 Background Information 1
1.2 Research Purpose 7
1.3 Research Structure 9
1.4 Research Contributions 10
II. LITERATURE REVIEW 11
2.1 Behavior Finance 11
2.2 Investor Sentiment 14
2.3 Media and Stock Markets 17
III. METHODOLOGY 21
3.1 Data Description 21
3.2 Variable Methodology 23
3.3 Empirical Model 30
IV. EMPIRICAL RESULTS 35
4.1 Descriptive Statistic 35
4.2 Sentiment Index and Stock Return 40
4.3 Lead-lag Effect between Investor Behavior and Market 45
4.4 Prediction 54
V. CONCLUSION 57
5.1 Conclusion 57
5.2 Suggestions for Future Research 60
REFERENCES 61
Appendix 65

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中文部分
周賓凰、池祥萱、周冠男、龔怡霖，行為財務學：文獻回顧與展望，證券市場發展季刊，14:2, 1-48，2002年
周賓凰、張宇志、林美珍，投資人情緒與股票報酬互動關係，證券市場發展季刊，19:2，153-190，2007年
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林晏竹，2005，台灣散戶投資人情緒對股票報酬的影響，政治大學財務管理所論文
洪培元，2004，市場情緒指標與股價報酬關係之研究，朝陽科技大學財務金融研究所論文。
謝委霖，2015，從財金新聞預測公司財報之營收走勢，國立中山大學資訊管理研究所論文