臆測投資市場變化一直是投資者最感興趣的議題，而過往文獻常見探討投資者情緒、新聞文字以及經濟政策不確定性對市場的影響效果。有別於過去的研究，本研究透過文字探勘方式整理出影響台灣股市的四個恐懼指標，並且透過 Diebold and Yilmaz (2014) 的關聯性分析，發現這四個恐懼指標彼此之間都有無法被替代的資訊內涵，因此必需同時考量所有情況才能真實反應市場與投資人的情緒。透過迴歸分析我們發現，若同時考量這四個恐懼指標，只有少數情況，恐懼指標對股市重要變數有顯著的預測能力；這結果與即有文獻相左。但相反地，若個別考量單一指標對市場變數的影響效果時，則大多數的指標都有顯著的預測能力。上述這些結果顯示，唯有綜合考量不同面向的恐懼指標才能較充分地反應投資者的情緒，也才能有較正確且全面的實證結果。若只考量單一指標的影響效果，其實證分析恐會有所偏誤。

In this study, we construct four different indicators which reflect the investors’ sentiment about fears and examine the impact of these indicators on the Taiwan’s stock market. According to the connectedness analysis of Diebold and Yilmaz (2014), we found that these indicators have irreplaceable information among each other. Therefore, it is necessary to consider all indicators to reflect the market and investors’ sentiment. Based on the regression analysis, we also found that, when all indicators are taken into account, only a few indicators have significant predictive power in Taiwan’s stock market. This is in contrast to the result in the existing literature. We, therefore, suggest that considering single indicator in the regression analysis may lead to a bias empirical result.

1. 前言………………………………………………………………1
2. 文獻回顧……………………………………………………3
2.1. TwFEARS 指標…………………………………………3
2.2. TwSVI 指標………………………………………………4
2.3. TwEPU 指標………………………………………………5
2.4. TwVIX 指標………………………………………………5
3. 研究方法……………………………………………………5
3.1. 資料處理……………………………………………………6
3.2. 單根檢定……………………………………………………9
3.3. 關聯性分析……………………………………………10
3.4. 迴歸分析…………………………………………………11
4. 實證結果…………………………………………………11
5. 結論………………………………………………………………23
參考文獻………………………………………………………………24

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