市場恐慌情緒對台股新聞事件之股價反應的影響

Abstract

本文試圖探討市場投資人情緒變動是否對於台灣股市在好、壞新聞的股價反應有產生增額的效果。以台灣上市公司1997至2010年期間之台灣50成份股公司的新聞及股價為訓練樣本，再以2011年1月1日至2020年8月10日期間之新聞事件作為檢定樣本，並以CBOE建立之恐慌指數（volatility index, VIX）作為投資人情緒，研究恐慌指數（VIX）變動時對好、壞新聞之股價報酬反應之影響。本文實證結果：（一）壞新聞發佈對事件超額報酬率具顯著負相關。（二）好新聞發佈對事件超額報酬率具顯著正相關。（三）以七日事件累積超額報酬率觀察，壞新聞與恐慌指數變動交乘項後，持續累積第5日開始呈顯著負相關；好新聞則不相關，代表市場恐慌指數（VIX）變動對好、壞新聞具有不對稱的股價反應。（四）進行中介效果分析中，證實新聞對股價報酬率的影響與市場情緒變動有關，投資人情緒會影響股價報酬率表現。在考慮市場系統性風險後，當市場瀰漫投資人恐慌情緒時，投資人對壞新聞更為敏感而導致股價下跌幅度加深；好新聞則不會有額外的情緒反應，形成好、壞新聞產生不對稱反應。

This study examines whether a change in investor sentiment in the market has an additional effect of increasing the share price reaction of the Taiwan stock market in good news and bad news. Take the companies' news of FTSE TWSE Taiwan 50 Index as a training sample from 1997 to 2010, and using Taiwan Stock Exchanged listed companies as a sample from January 1st, 2011 to August 10th, 2020. The volatility index (VIX) established by COBE is used as investor sentiment to examine the influence of VIX changes on the stock price response of good news and bad news. The empirical results show: (1) Bad news release has a negative correlation with the abnormal return in the event day. (2) The good news release has a positive correlation with the abnormal return in the event day. (3) Observing the cumulative abnormal return in the event period for seven days, the multiplication of bad news and VIX_change has a negative correlation begins on the fifth day, but the good news is irrelevant. It means that the VIX_change caused an asymmetric stock price response to good news and bad news. (4) In the analysis of CAUSALMED, it is confirmed that the influence of news on stock returns is related to market sentiment, and investor sentiment affects the performance of stock return. After considering the market systemic risk, when the market is filled with investor panic, investors will be more sensitive to bad news, resulting in a deeper decline in stock prices, but the good news did not have additional emotional reactions. This formed an asymmetric reaction between good news and bad news.