新冠肺炎疫情期間恐懼情緒與股市流動性之探討
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Date
2023
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Abstract
本研究主要探討在新冠肺炎疫情期間，投資人的恐懼情緒對台灣股票市場流動性的影響。同時我們還探究利用全球性的情緒指標相較於本地的情緒指標是否更能顯著影響本地股票市場的流動性。我們參考 Salisu and Akanni (2020)所提出的 COVID-19 全球恐懼指數 (Global Fear Index)，利用 COVID-19 相關資料建構指數以衡量投資人情緒，並以Amihud 非流動性指標及周轉率作為股票市場流動性的代理變數，實證結果顯示在疫情期間，投資人的恐懼情緒對股票市場流動性會有顯著的負面影響，且全球性的情緒指標比起本地的情緒指標會有更顯著的影響。
This study primarily investigates the impact of investors’ fear sentiment on stockmarket liquidity in Taiwan during the COVID-19 pandemic. Additionally, I explore whether utilizing global sentiment indicators significantly affects the liquidity of the local stock market compared to local sentiment indicators. I make reference to the COVID-19 Global Fear Index proposed by Salisu and Akanni (2020), and construct an index using COVID-19 data to measure investor sentiment. I utilize the Amihud illiquidity ratio and turnover ratio as proxy variables for stock market liquidity. The empirical results show that investors’ fear sentiment has a significant negative impact on stock market liquidity during the pandemic, and the global sentiment indicators have a more significant effect than local sentiment indicators.
This study primarily investigates the impact of investors’ fear sentiment on stockmarket liquidity in Taiwan during the COVID-19 pandemic. Additionally, I explore whether utilizing global sentiment indicators significantly affects the liquidity of the local stock market compared to local sentiment indicators. I make reference to the COVID-19 Global Fear Index proposed by Salisu and Akanni (2020), and construct an index using COVID-19 data to measure investor sentiment. I utilize the Amihud illiquidity ratio and turnover ratio as proxy variables for stock market liquidity. The empirical results show that investors’ fear sentiment has a significant negative impact on stock market liquidity during the pandemic, and the global sentiment indicators have a more significant effect than local sentiment indicators.
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投資人情緒, 股市流動性, 全球恐懼指數, 新冠肺炎, Investor Sentiment, Stock Liquidity, Global Fear Index, COVID-19