| 英文摘要 |
This study explores the relationship between positive and negative news sentiment and the returns on the Taiwan weighted stock index by taking media quantitative information as a news sentiment variable. The findings show that these two sentiment variables and the returns on the stock index are statistically significant. Through further establishment of investment strategies and valuing a long position on an option with transactions costs, this study shows that, for the investment strategy with the negative sentiment, the optimal return is 13.308%, the Sharpe ratio is 0.759, and the ending present value is 1,975,280 thousand. They are higher than those strategies with no sentiment variable. This denotes that the performance indicator is better if the negative sentiment variable is included. The results of this study indicate that the negative sentiment is a better prediction than is positive sentiment, which is consistent with the results of Tetlock (2007) and García (2013). |
