投資人情緒與國際證券投資：拔靴追蹤因果關係模型之應用

Investor Sentiment and International Stock Investment: Using Bootstrap Panel Granger Causality Model

國際證券投資已是資產配置的重要一環，不同於過去研究著重在基本分析與技術分析，本論文著眼於投資人情緒來進行觀察。本文選取2000年至2013年20個股票交易市場，在考慮了變數的橫斷面相依與異質性的問題之後，以每年為一區間，採用Kónya (2006)的追蹤資料因果關係模型，逐次區分各國投資人情緒與指數報酬的四種因果關係：樂觀、保守、回饋與中立，最後再累計觀察四種因果關係未來1年的平均報酬是否有所差異。實證結果發現，四種因果關係彼此之間的未來報酬確實不同，未來一年的報酬，以屬於保守因果關係（報酬影響情緒）的國家指數報酬最優，其次是屬於中立因果關係（互相不影響）的國家指數，再其次是屬於回饋因果關係（互相影響）的國家指數，最後，報酬最低的是屬於樂觀因果關係（情緒影響報酬）的國家指數。研究結果，提供了有別於傳統的一種心理投資分析方法。

This paper investigates potential Granger causality between the Investor Sentiment and Stock Returns in 20 stock markets for the period between 2000 and 2013. A new panel-data approach developed in Kónya (2006) which is based on SUR systems and Wald tests with country specific bootstrap critical values is employed in the study. The empirical results indicate that there are four results of causality relationship between Investor Sentiment and Stock Returns, such as (1) Investor Sentiment Granger causes Stock Returns, (2) Stock Returns Granger causes Investor Sentiment, (3) evidence of effects between Investor Sentiment and Stock Returns, and (4) no evidence of effects between Investor Sentiment and Stock Returns. If we examine the next year's performance, we find ＂Stock Returns Granger causes Investor Sentiment＂ is better than those which do other hypothesis. This result is helpful for investors in making their international stock investment plans.