調查情感指標與指數期貨價格之間關係

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姓名

高延豪(Yan-hao Gao) 查詢紙本館藏

畢業系所

企業管理學系

論文名稱

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)

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至系統瀏覽論文 (2027-6-20以後開放)

摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 情感分析
★ 社群媒體
★ 台指期貨

關鍵字(英)

★ emotion analysis
★ social media
★ Taiwan index futures

論文目次

中文摘要 ...................................................................................v Abstract....................................................................................vi
目錄 .........................................................................................vii
表目錄 .....................................................................................viii
圖目錄 ......................................................................................ix
第一章緒論...............................................................................1
1-1 研究動機.............................................................................1
1-2 研究目的.............................................................................2
1-3 研究架構.............................................................................3
第二章文獻探討........................................................................5
2-1 有關情緒應用的相關文獻.....................................................5
2-2 情緒影響投資者行為相關文獻..............................................6
2-3 中文情緒字典相關文獻.........................................................8
第三章研究流程與資料分析.......................................................9
3-1 社群選擇..............................................................................9
3-2 萃取文章與中文斷詞............................................................11
3-3 情感分數計算.......................................................................11
3-4 統計分析..............................................................................13
3-4-1 探討情感的強度與期指價格漲跌幅度的關聯 ......................13
3-4-2 單一情感強度與期指價格情況變化之關係 ..........................14
3-4-3 探究不同的情感出現對期指價格影響是否有差異 ................16
第四章結論與未來研究建議.........................................................23
4-1 研究結論與實務意涵..............................................................23
4-2 研究限制及未來研究建議.......................................................24
參考文獻 .................................................................................... 25
附錄一:中文情感詞彙(部分示例) ...................................................28

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指導教授

許秉瑜(Ping-Yu Hsu)

審核日期

2017-6-21

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