恐懼與貪婪指數能解釋 COVID-19 疫情期間台灣股市的走勢嗎？

Abstract

新冠疫情爆發對全球金融市場造成重大衝擊，投資者情緒亦隨之劇烈波動。為了解疫情期間情緒變動對台灣股市的影響，本文依據CNN提出的恐懼與貪婪指數概念，自行建構台灣版恐懼與貪婪指數（TWFGI），並進一步分解為七因子與五因子兩種指標組合，作為投資人情緒的衡量工具。研究期間涵蓋疫情全時期、前、後三階段，採用多元線性迴歸模型，探討TWFGI對加權股價指數報酬與波動度之解釋力。研究結果顯示，TWFGI在疫情期間對台股報酬與波動皆具顯著影響，特別是在疫情後期，情緒因子影響更為明顯；其中五因子指數整體表現相對穩定，解釋力亦優於七因子。本文貢獻在於首次系統性建立本土化的情緒指數，並實證其對市場變動具前瞻意義，有助投資人及政策制定者掌握市場情緒脈動。The outbreak of COVID-19 had a significant impact on global financial markets, causing investor sentiment to fluctuate dramatically. To analyze how sentiment shifts affected the Taiwanese stock market during the pandemic, this study develops a Taiwan-specific Fear and Greed Index (TWFGI) based on the concept introduced by CNN. The index is further broken down into two versions—one with seven factors and another with five—to more accurately measure investor sentiment. Covering the periods before, during, and after the pandemic, this research uses multiple linear regression to assess the explanatory power of TWFGI on TAIEX returns and volatility. The results show that TWFGI significantly influences both returns and volatility during the pandemic, with sentiment becoming even more impactful in the post-pandemic phase. Among the two models, the five-factor version demonstrates greater stability and stronger explanatory power. This study’s contribution lies in creating a localized sentiment index and empirically validating its predictive value, providing valuable insights for investors and policymakers alike.