投資人情緒、買賣單不均衡與市場流動性的關係-以美國ETF市場為例

Abstract

近年來，行為財務學開始為學者所重視，但主要發展方向為情緒指標與個股報酬或是市場報酬上的關係，鮮少與市場流動性有關。本文的目的在於找出投資人情緒指標與市場流動性之間關係。我們分別採用了以市場為基礎的情緒指標和以問卷調查為主的情緒指標，對兩個假說進行實證。 第一個假說試圖驗證原本Chordia、Roll 和Subrahmanyam 等學者在2002年提出的流動性模型在加入情緒指標後，解釋能力會有顯著的增加。結果證實情緒指標在原本的流動性因子之外，還能對市場報酬有解釋能力，且投資人情緒與市場報酬呈現負向的變動關係。第二個假說則希望證實情緒指標對市場流動性能有影響力。但實證顯示，情緒指標對於市場流動性幾乎沒有解釋能力。

This paper is intended to discover the relationship between investor sentiment and market liquidity. Using market-based and survey-based investor sentiment indicators, two hypotheses are tested. The first hypothesis postulates that sentiment indicators have marginal explanatory power to explain market returns beyond the lagged returns and the market liquidity variable, defined as order imbalances. We follow Chordia, Roll and Subrahmanyam (2002) to reconstruct the model by adding sentiment indicators. Consistent with the first hypothesis, the results show that investor sentiment can influence market returns and the relationship between sentiment and market returns is negative. However, the evidence in support of the second hypothesis, which posits that market liquidity variables can be explained by investor sentiment indicators, is not found. As mentioned in previous research, this consequence may be due to the fact that market liquidity can be an investor sentiment indicator.