本研究針對台灣股市在2000年至2023年期間的週資料，分析金屬商品情緒指標變化（ΔCBSI）對台股報酬率的影響。以下是研究的主要發現： 1.情緒指標與台股報酬率的關聯性： 金屬商品情緒變化對台股報酬率具有顯著性及較佳的模型解釋能力，也對於下一期的台股報酬率具有預測能力。黃金情緒變化與台股報酬率呈現負相關，鉑和銅情緒變化與台股報酬率呈現正相關。 2.週期的區分： 研究將期間區分為兩個週期，發現近十年（2012年2023年）的模型解釋能力大於之前的十年(2000年~2012年)，暗示投資人情緒對台股的影響力逐漸增加。 3.市場差異： 研究指出，不同市場對金屬商品情緒變化的反應不同。以S&P500為例，只有銅的情緒變化對其報酬率具有顯著性，且呈現正相關。 這些發現表明，金屬商品的情緒變化對於台股報酬率具有重要影響，特別是在近十年，這可能與市場參與者行為和投資策略的變化有關。然而，不同市場的反應存在差異，強調了研究結果的市場特異性。 ;This study uses weekly data of TAIEX from 2000 to 2023 to analyze the impact of changes in the metal commodity sentiment indicator (ΔCBSI) on Taiwan stock returns. Here are the key findings of the study: 1. The correlation between sentiment indicators and Taiwan stock returns: Changes in metal commodity sentiment are significant to Taiwan stock returns and have better model explanatory ability. They also have predictive for Taiwan stock returns in the next period. Gold sentiment changes are negatively correlated with Taiwan stock returns, while platinum and copper sentiment changes are positively correlated with Taiwan stock returns. 2. Differentiation of cycles: The study divided the period into two cycles and found that the explanatory ability of the model in the past decade (2012-2023) was greater than that in the previous decade (2000~2012), suggesting that the influence of investor sentiment on Taiwan stocks is gradually increasing. 3. Market differences: Research points out that different markets react differently to changes in sentiment for metal commodities. Taking the S&P500 as an example, only copper′s sentiment changes have a significant positive correlation with its return rate. These findings indicate that sentiment changes in metal commodities have an important impact on Taiwan stock returns, especially in the past decade, which may be related to changes in market participant behavior and investment strategies. However, there were differences in responses across markets, underscoring the market-specific nature of the findings.
