不同於過去的財務理論，本研究發現國內股票市場風險與報酬之間為負向關係，學術上將此稱作”波動度異常現象”。國內投資人結構以散戶為主，股票價格更容易受到投資人情緒所影響，從實證結果發現，波動度異常現象僅存在於高投資人情緒期間、景氣擴張與股市多頭期間，且有高投資人情緒或高散戶持股比例特徵之個股預期波動度較高以及預期報酬較低。進一步發現當小股東持股比例與融資使用率越高時，波動度異常現象會更加明顯，可以解釋國內波動度異常現象也說明國內股票市場受不理性投資人的影響極深。

Contrary to some previous finance theories, this thesis demonstrates that in Taiwan stock market, volatility is directly proportional to stock return. This phenomenon is commonly known as ‘Volatility Anomaly’.
Since Individual investors constitute the majority of Taiwan investment market, the stock price is affected by their emotion. As is demonstrated by the experiments in this these, volatility anomaly merely exists during the period of high investor sentiment, economic expansion, and bull market. What's more, the stocks characterized by high investor sentiment and high individual holding, get higher expected volatility and lower expected stock return. For further discover, higher investor sentiment and higher individual holding will cause the volatility anomaly be more obvious. This fact could improve that volatility anomaly exists and irrational investors' behavior strongly affects the stock market in Taiwan.

摘要 i
Abstract ii
目錄 iii
圖次 iv
表次 v
第一章　緒論 1
第一節　前言 1
第二節　研究流程 3
第二章　文獻探討 4
第一節　波動度異常現象 4
第二節　影響波動度異常之因素 5
第三節　投資人情緒與波動度異常 6
第三章　研究方法 7
第一節　研究架構 7
第二節　研究模型 7
第三節　資料來源與樣本選取 12
第四章　實證結果 15
第一節　敘述統計 15
第二節　台灣股票市場低波動度異常現象 17
第三節　迴歸分析結果 20
第四節　穩健性測試 28
第五章　結論與貢獻 31
第一節　結論 33
第二節　研究貢獻 34
第三節　未來研究方向 34
參考文獻 35

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