調查情感指標與指數期貨價格之間關係;Investigating the Relationship Between the Emotion of Blogs and the Price of Index Futures

NCUIR > School of Management at National Central University > Graduate Institute of Business Administration > Electronic Thesis & Dissertation > Item 987654321/74116

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Title:	調查情感指標與指數期貨價格之間關係;Investigating the Relationship Between the Emotion of Blogs and the Price of Index Futures
Authors:	高延豪;Gao, Yan-hao
Contributors:	企業管理學系
Keywords:	情感分析;社群媒體;台指期貨;emotion analysis;social media;Taiwan index futures
Date:	2017-06-21
Issue Date:	2017-10-27 13:11:37 (UTC+8)
Publisher:	國立中央大學
Abstract:	在台灣金融活動眾多且交易方面日漸成熟，在衍生性金融商品更是發展迅速，尤其是期貨商品，原因在於期貨商品具有避險、套利與投機等功用且操作槓桿大，在市場上十分受到投資人的喜愛。另一方面,在網際網路快速發展下，人們習慣在網路上傳遞、分享訊息,使得許多社群媒體因此蓬勃發展，而財務與經濟學中認為，投資者情緒與經濟市場會有相關性。因此越來越多的研究尋找金融市場波動與社群媒體情緒的關係。在過去研究顯示情緒確實能影響股市價格波動。情感相關研究則需要透過議題長時間觀察情感變化才能找出市場關係。本研究將使用中文情感詞彙與萃取社群媒體上的情感，藉由每日討論文章進一步分析出每日投資者情感，確認情感是否能與市場價格有相關性。結果顯示，情感「懼」的強度與市場跌幅有顯著相關性；主要情感「好」與「哀」時則情感強度與市場價格漲跌幅度有顯著相關性。;As the financial derivatives tradable market developed quickly in Taiwan, the trading volumes in futures grow quickly in recent years. At the same time, many people post and shared opinion on social media. Many research in economics and behavioral finance have posited and confirmed that investors‟ mood is correlated with the performance of financial market. Several research have been devoted to study the relationship between the volatility of financial market and sentiments expressed in social media. On the other hand, even though emotion can describe the feeling of people more precisely than sentiment, to the best of our knowledge, only one research has tried to discover the relationship between futures performance and emotion fluctuation. The research tracked the evolvement of specific events and the changes of emotion as the time elapsed and observed that emotion changes are related to stock performance. Instead of tracking long term emotional fluctuation, this study strived to predict price change of derivatives with emotion expressed in social media in previous day. The result confirmed emotions such as “Good”, “Fear” and “Disgust” are highly correlated with Taiwan index futures price change.
Appears in Collections:	[Graduate Institute of Business Administration] Electronic Thesis & Dissertation

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