以「期貨交易資料」作為「情緒指標」之檢驗與評析

A Testing and Comment on Using Futures Trading Data as Sentiment Indicators

投資人情緒是行為財務學重要議題，由於臺灣實證研究常用的市場情緒指標彼此間相關程度不高，可能反映非屬投資人情緒因素。本文以Baker and Wurgler (2007)的作法進行調整，並以期貨市場常用的情緒指標：波動率指數、賣權／買權比、期貨成交量及期貨未平倉部位比率等四項，藉由「因素分析—主成分法」檢驗上述指標的適當性，並萃取出投資人情緒因子。結果發現期貨成交量、未平倉部位比率並未反映投資人情緒，賣權／買權比僅反映投資人情緒，並未反映基本面因素，波動率指數除反映投資人情緒外，也反映市場資金面因素。此外，本文並提供後續研究方向的建議。

"Investor sentiment has been an important issue for behavioral finance studies. As the Taiwan market sentiment indicators are not highly correlated with each other, it means that some of such indicators may not reflect investor sentiment. This paper adjusts the approach of Baker and Wurgler (2007). We analyze the appropriateness of four market indicators, Volatility Index (VIX), put/call ratio, futures trading volume, and the open interest ratio, as mood proxies based on the factor analysis with principal component method. The result finds that futures trading volume and the open interest ratio could not reflect investor sentiment, put/call ratio could be a sentiment indicator. VIX both reflects investor sentiment and fundamentals. We also provide interesting topics for further studies."