本文使用GJR-GARCH模型來探討美國直接與間接投資人情緒指標對10個國際股票市場的大盤指數報酬與波動之關連，另外將直接情緒指標區分理性與非理性兩部分探討其影響力。本文旨在研究投資人情緒變化，掌握股市的短期動向，提供投資人參考，規避潛在損失風險。
	實證結果顯示:1.VIX (Volatility Index）指數對各個股市大盤指數的報酬有顯著負相關，顯見恐慌指標反映投資人對於股市預期的心理變化。在不對稱效果下，唯有NASDAQ與泰國市場不顯著，其餘顯著證據指出負面消息的揭露會使波動更加劇烈。2.在美國個別投資人情緒中，消息面(理性)交易與各國大盤指數報酬呈現顯著正相關、與波動呈現負相關，但是與多數亞洲國家的波動性則呈現低度相關或不相關。3.雜訊(非理性)交易與各國大盤指數報酬與波動大多無顯著相關，顯然理性交易者的投資行為比起雜訊交易者，更具有影響力。4. Put/Call ratio 與各國報酬呈顯著負相關，比例越大表示市場氣氛看空；除了S&P 500與香港外，變異數沒有顯著相關性。5.保護性策略與各國報酬呈現顯著正相關；除了NASDAQ與香港，變異數呈現顯著負相關。

This study uses GJR-GARCH model to examine the relationship between investor sentiments and returns and volatility of stock markets. The article focus on changes in investor sentiments and providing information to investor to hedge the potential risks of loss.
	The empirical results are show as: 1. VIX (Volatility Index) has the negative correlation on the all stock markets. In the asymmetric effect, we have significant evidence that the disclosure of negative news will be more severe fluctuation except NASDAQ and Thailand. 2. Rational sentiments have positive relationship on returns, but negative on volatility. These relationships are weakly on most of Asian country. 3. Irrational sentiments have no effect on both returns and volatility of the most of stock markets. Compare with rational sentiments, it has fewer influences. 4. Put/Call ratio has negative influence on returns; except for S&P 500 and Hong Kong, no effect on other country. 5. Preventive strategy has positive correlation on returns and negative correlation on volatility besides NASDAQ and Hong Kong.

謝辭
中文摘要 I
英文摘要 II
目 錄 III
表目錄 IV
圖目錄 V
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 4
第三節 論文架構 4
第二章 文獻探討 6
第一節 投資情緒與股票報酬的關係 6
第二節 外國投資人對亞洲股市影響 11
第三章 研究方法 16
第一節 定態時間序列與單根檢定 16
第二節 最適落遲期數選取 21
第三節 GARCH模型 22
第四章 研究模型 28
第一節 樣本資料與變數 28
第二節 實證分析模型之建構 32
第五章 實證結果 34
第一節 樣本的基本敘述統計 34
第二節 理性變數之間的相關性 44
第三節 理性變數的線性迴歸 45
第四節 情緒指標之GJR-GARCH模型 46
第六章 結論 62
參考文獻 64

表目錄
表1 履約價格序列 31
表2 基本敘述統計 37
表3 ADF與PP檢定 43
表4 理性變數的相關係數矩陣 44
表5 理性變數的線性回歸 45
表6 GJR-GARCH模型實證結果-情緒指標(波動率指數) 47
表6 (續) GJR-GARCH模型實證結果-情緒指標(波動率指數) 48
表7 GJR-GARCH模型實證結果-情緒指標(雜訊交易者) 50
表7 (續) GJR-GARCH模型實證結果-情緒指標(雜訊交易者) 51
表8 GJR-GARCH模型實證結果-情緒指標(基本面交易者) 53
表8 (續) GJR-GARCH模型實證結果-情緒指標(基本面交易者) 54
表9 GJR-GARCH模型實證結果-情緒指標(交易量的Put/Call ratio) 56
表9 (續) GJR-GARCH模型實證結果-情緒指標(交易量的Put/Call ratio) 57
表10 GJR-GARCH模型實證結果-情緒指標(BuyWrite index) 59
表10 (續) GJR-GARCH模型實證結果-情緒指標(BuyWrite index) 60
表11 情緒指標與各國股票市場報酬關係 61
表12 情緒指標與各國股票市場變異數關係 61

圖目錄
圖1 本文之研究流程 5
圖2 VIX與各國大盤指數之走勢圖 38
圖3 RES與各國大盤指數之走勢圖 39
圖4 RATIONAL 與各國大盤指數之走勢圖 40
圖5 P/C 與各國大盤指數之走勢圖 41
圖6 BWM 與各國大盤指數之走勢圖 42

參考文獻
周賓凰、張宇志、林美珍 (2007)，投資人情緒與股票報酬互動關係，證券市場發展季刊 19，第二期，頁153-190。
Baker, M., and J. Wurgler, (2003), “Investor Sentiment and the Cross-Section of Stock Returns,” working paper, Harvard Business School and NBER, NYU Stern School of Business.
Baker, M., and J. Wurgler, (2007),“Investor Sentiment in the Stock Market,” Journal of Economic Perspectives, 21 (2), pp.129–151.
Barro, R.J., (2001) “Economic Growth in East Asia Before and After the Financial Crisis,” NBER Working Paper, No.8330.
Black, F., (1986), “Noise,” Journal of Finance, 41 (3), pp.529–543.
Bollerslev, T., (1986), “Generalized Autoregressive Conditional Heteroscedasticity,” Journal of Econometrics, 108, pp.307~327.
Bowe, M., and D. Domuta, (2001),“Foreign Investor Behaviour and the Asian Financial Crisis,” Journal of International Financial Markets,Institutions and Money, 11, pp.395–422.
Brown, G.W., and M.T. Cliff, (2004), “Investor Sentiment and the Near-Term Stock Market,” Journal of Empirical Finance, 11, pp.1 –27.
Brown, G.W., and M.T. Cliff, (2005), “Investor Sentiment and Asset Valuation,” Journal of Business, March 2005.
Campbell, J.Y., (1987), “Stock Returns and the Term Structure,” Journal of Financial Economics, 18, pp.373–399.
Campbell, J.Y., (1991), “A Variance Decomposition for Stock Returns,” Economic Journal, 101, pp.157–179.
Canbaş, S., and S.Y. Kandır, (2009), “Investor Sentiment and Stock Returns: Evidence from Turkey,” Emerging Markets Finance and Trade, 45 (4), pp.36-52.
Chen, N., R. Kan, and M. Miller, (1993), “Are the Discounts on Closed-End Funds a Sentiment Index?,” Journal of Finance, 48, pp.795–800.
Cheung, Y.L. and S.C. Mak, (1992), “The International Transmission of Stock Market Fluctuation between the Developed Markets and the Asian-Pacijic Markets,” Applied Financial Economics, 2, pp.43-47.
Clarke, R.G., and M. Statman, (1998), “Bullish or Bearish?,” Financial Analysts Journal, pp.63–72.
De Bondt, W., (1993), “Betting on Trends: Intuitive Forecasts of Financial Risk and Return,” International Journal of Forecasting, 9, pp.355–371.
DeLong, J.B., A. Shleifer, L.H. Summers, and R.J. Waldmann, (1990), “Noise Trader Risk in Financial Markets,” Journal of Political Economy, 98, pp.703-738.
DeLong, J.B., J. Shleifer, A. Summers, and R.Waldmann, (1991), “The Survival of Noise Traders in Financial Markets,” Journal of Business, 64 (1), pp.1–19.
Dickey, D.A., and W.A. Fuller, (1979), “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, pp.427–431.
Dickey, D.A., and W.A. Fuller, (1981), “Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root,” Econometrica, 49, pp.1057–1072.
Edelen, R.M., and J.B. Warner, (2001), “Aggregate Price Effects of Institutional Trading: A Study of Mutual Fund Flow and Market Returns,” Journal of Financial Economics, 59, pp.195-220.
Elton, E.J., M.J. Gruber, and J.A. Busse, (1998), “Do Investors Care About Sentiments?,” Journal of Business, 71, pp.477–500.
Engle, R., (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation,” Econometrica, 50, pp.987~1007.
Fama, E.F., (1990), “Term Structure Forecasts of Interest Rates, Inflation, and Real Returns,” Journal of Monetary Economics, 25, pp.59–76.
Fama, E.F., and K.R. French, (1989), “Business Conditions and Expected Returns on Stocks and Bonds,” Journal of Financial Economics, 25, pp.23–49.
Fama, E.F., and K.R. French, (1993), “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics, 33, pp.3–56.
Ferson, W.E., and C.R. Harvey, (1991), “The Variation in Economic Risk Premiums,” Journal of Political Economy, 99, pp.385–415.
Fisher, K.L., and M. Statman, (2000), “Investor Sentiments and Stock Returns,” Financial Analysts Journal, March/April, pp.16–23.
Gemmill, G., and C.D. Thomas, (2002), “Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed-End Funds,” Journal of Finance, 6, pp.2571–2594.
Ghosh, A., R. Saidi, and K.H. Johnson, (1999), “Who Moves the Asia-Pacific Stock Markets-US or Japan? Empirical Evidence Based on the Theory of Cointegration,” The Financial Review, 34, pp.159-170.
Guo, F., and Y.S. Huang, (2010), “Does “Hot Money” Drive China's Real Estate and Stock Markets?,” International Review of Economics and Finance, 19, pp.452–466.
Karolyi, G.A., (2002), “Did the Asian Financial Crisis Scare Foreign Investors out of Japan?,” Pacific-Basin Finance Journal, 10, pp.411 –442.
Keim, D.B., and R.F. Stambaugh, (1986), “Predicting Returns in the Bond and Stock Markets,” Journal of Financial Economics, 17, pp.357–390.
Ko, K., K. Kim and S.H. Cho, (2007), “Characteristics and Performance of Institutional and Foreign Investors in Japanese and Korean Stock Markets,” J. Japanese Int. Economies, 21, pp.195–213.
Lee, C., A. Shleifer, and R. Thaler, (1991), “Investor Sentiment and the Closed-End Fund Puzzle,” Journal of Finance, 46, pp.75–109.
Lee, W.Y., C.X. Jiang and D.C. Indro, (2002), “Stock Market Volatility, Excess Returns, and the Role of Investor Sentiment,” Journal of Banking & Finance, 26, pp.2277–2299.
Lee, Y.T., J.C. Lin and Y. J. Liu, (1999), “Trading Patterns of Big Versus Small Players in an Emerging Market: An Empirical Analysis,” Journal of Banking and Finance, 23, pp.701–725.
Lin, A. Y., (2006), “Has the Asian Crisis Changed the Role of Foreign Investors in Emerging Equity Markets: Taiwan’s Experience” International Review of Economics and Finance, 15, pp.364–382.
Lintner, J., (1965), “Security Prices, Risk, and Maximal Gains from Diversification,” Journal of Finance, 20, pp.587–615.
Meric, G., R. Leal, C. Ratner, and M. Meric, (2001a), “Co-Movements of U.S. and Latin American Stock Markets During the 1997–1998 Emerging Markets Financial Crisis,” In I. Meric and G. Meric, eds., Global Financial Markets at the Turn of the Century. London: Pergamon, Elsevier Science, pp.177–194.
Meric, G., R. Leal, C. Ratner, and M. Meric, (2001b), “Co-Movements of U.S. and Latin American Equity Markets Before and After the 1987 Crash,” International Review of Financial Analysis, 10, pp.219–235.
Neal, R., and S. Wheatley, (1998), “Do Measures of Investor Sentiment Predict Stock Returns?,” Journal of Financial and Quantitative Analysis, 34, pp.523–547.
Phillips, P., and P. Perron, (1988), “Testing for a Unit Root in Time Series Regression,” Biometrika, 75, pp.335~346.
Ratanapakorn, O., and S.C. Sharma, (2002), “Interrelationships among Regional Stock Indices,” Review of Financial Economics, 11, pp.91–108.
Said S. E., and D.A. Dickey, (1984), “Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order,” Biometrica, 71, pp.599~607.
Schmeling, M., (2007) “Institutional and Individual Sentiment: Smart Money and Noise Trader Risk?,” International Journal of Forecasting, 23, pp.127-145.
Sharpe,W.F., (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance, 19, pp.425–442.
Shleifer, A., and L. Summers, (1990), “The Noise Trader Approach to Finance,” Journal of Economic Perspectives, 4 (2), pp.19–33.
Sias, R.W., L.T. Starks, and S.M. Tinic, (2001), “Is Noise Trader Risk Priced?,” Journal of Financial Research, 24 (3), pp.311–329.
Simon, D.P., and R.A. Wiggins III, (2001), “S&P 500 Futures Returns and Contrary Sentiment Indicators,” Journal of Futures Markets, 21, pp.447–62.
Solt, M.E., and M. Statman, (1988), “How Useful is the Sentiment Index?,” Financial Analysts Journal, pp.45–55.
Soydemir, G., (2002), “The Impact of the Movements in 3-Month U.S. Treasury Bill Yields on the Equity Markets in Latin America,” Applied Financial Economics, 12, pp.77–84.
Soydemir,G., (2000), “International Transmission Mechanism of Stock Market Movements: Evidence from Emerging Equity Markets,” Journal of Forecasting, 19, pp.149–176.
Swaminathan, B., (1996), “Time-Varying Expected Small Firm Returns and Closed-End Fund Discounts,” Review of Financial Studies, 9, pp.845–887.
Tandon, K., and T. Urich, (1987), “International Market Response to Announcements of US Macroeconomic Data,” Journal of International Money and Finance, 6, pp.71–83.
Verma, R., and G. Soydemir, (2006), “The Impact of U.S. Individual and Institutional  Investor Sentiment on Foreign Stock Markets,” The Journal of Behavioral Finance, 7 (3), pp.128–144.
Verma, R., and G. Soydemir, (2009), “The Impact of Individual and Institutional Investor Sentiment on the Market Price of Risk,” The Quarterly Review of Economics and Finance, 49, pp.1129–1145.
Wang, Y.H., A. Keswani and S. Tylor, (2006), “The Relationships between Sentiment, Returns and Volatility,” International Journal of Forecasting, 22, pp.109– 123.
Wang, Y.M., C.A. Li and C.F. Lin, (2009), “The Impact of Investor Sentiment on the Futures Market: Evidence from the Taiwan Futures Exchange,”International Research Journal of Finance and Economics, 28, pp.134-151. 
Whaley, R.E., (2002), “Return and risk of CBOE Buy-Write Monthly Index,” Journal of Derivatives, Winter issue, pp.35-42.
Yang, J.W., (2002), “The Information Spillover between Stock Returns and Institutional Investors’ Trading Behavior in Taiwan,” International Review of Financial Analysis, 11, pp.533–547.
Zhang, Q., and S.E. Yang, (2009), “Noise Trading, Investor Sentiment Volatility, and Stock Returns,” Systems Engineering - Theory & Practice, 29 (3), pp.40-47.