非理性投資人會影響效率市場的運作，近年來台灣股票市場累積開戶數不斷創下新高，預期投資人情緒指標對市場報酬影響更為顯著，特別是在COVID-19疫情爆發與通膨嚴重等嚴峻投資環境下，多數投資人將較為不理性。故本論文以市場週轉率、TAIWAN VIX 與券資比作為情緒指標，針對數據進行基本統計量分析，並以迴歸模型研究情緒指標是否能解釋市場報酬數據。本研究發現情緒指標會受總體經濟等基本面因子所影響，代表市場上有理性投資人的存在。此外，本研究也驗證情緒指標和總體經濟因子對於當期市場報酬率有解釋能力，但當情緒指標單獨作為預期未來市場報酬之變數時則不具預測能力。本文還探討加入Fama風險因子有無益於解釋當期市場報酬，並得出無顯著影響的結論。

Irrational investors will affect the operation of efficient markets. In recent years, the cumulative number of accounts opened in Taiwan’s stock market has continued to hit new highs. It is expected that investor sentiment variables will have a more significant impact on market returns, especially in severe situations such as the outbreak of the COVID-19 epidemic and severe inflation. Therefore, this study uses the Market Turnover Ratio, TAIWAN VIX, and Short Sale/Margin Purchase Ratio as sentiment variables, conducts fundamental statistical analysis of the data, and studies whether sentiment variables can explain market return data with a linear regression model. This study found that sentiment variables will be affected by macroeconomic factors, which represent the existence of rational investors in the market. In addition, this study also verified that sentiment variables and macroeconomic factors have explanatory power for the current market return rate, but when sentiment variables are used independently as variables of expected future market returns, they have no predictive power. This paper also explores whether adding Fama’s risk factors is beneficial to explain the current market returns and draws the conclusion that there is no significant effect.

目錄
中文摘要	I
英文摘要	II
圖目錄	VI
表目錄	VII
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 研究架構	5
第四節 研究流程圖	6
第二章 文獻探討	7
第一節 傳統財務學與行為財務學	7
第二節 情緒指數與資本市場之關聯性	11
一、情緒指數在股票市場上的應用	12
二、情緒指數在基金上的應用	14
三、情緒指標在衍生性商品上的應用	15
第三章 資料選取與研究方法	19
第一節 研究資料與變數	19
一、研究資料	19
二、變數定義	20
第二節 研究假說	25
第四章 實證結果與分析	27
第一節 敘述性統計量	27
第二節 研究假說之驗證與分析	28
第三節 後疫情期間研究假說之驗證與分析	33
第五章 結論	37
參考文獻	39
一、中文文獻	39
二、英文文獻	39

圖目錄
【圖1-1】台灣證券市場近十年新開戶數及累積開戶數	3
【圖1-2】研究流程架構圖	6
【圖1-3】財務學之分流	10

表目錄
【表3-1】變數資料來源說明	24
【表4-1】敘述統計量	27
【表4-2】情緒變數間之相關係數矩陣	28
【表4-3】情緒變數與總體經濟因子間之相關係數矩陣	29
【表4-4】情緒變數對總體經濟因子之線性迴歸	30
【表4-5】市場報酬率對情緒變數和總體經濟因子之線性迴歸	31
【表4-6】市場報酬率對情緒變數之線性迴歸	32
【表4-7】市場報酬率對風險因子與情緒變數之線性迴歸	33
【表4-8】後疫情期間情緒變數對總體經濟因子之線性迴歸	34
【表4-9】後疫情期間市場報酬率對情緒變數和總體經濟因子之線性迴歸	35
【表4-10】後疫情期間報酬率對風險因子與情緒變數之線性迴歸	36

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