本文主要探討投資人情緒與股價指數報酬率間的關係，嘗試以選擇權市場價格中隱含的心理預期波動率與歷史波動率來編製情緒指標，並依據行為財務學的理論為架構，來探討投資人因應市場上的訊息時之交易行為特性。以美國市場中的S&P 100指數選擇權的日資料為研究標的，將研究期間區分為多空頭時期，運用時間序列和ARMA-GARCH模型來分析探討。實證結果發現(1)指數報酬率對於投資人情緒非線性的影響較為顯著(2)賣權情緒較買權情緒更容易受到指數報酬率的影響(3)當長期市場走勢與短期指數漲跌的方向相同時，則股價報酬率對於投資人情緒指標的影響是明確的。 This study discusses the relationships between the investor's sentiment and stock market returns. We construct a sentiment index, derived from the implied volatility and historical volatility of options, to investigate the trader's behavior. The data is the daily prices of S&P 100 index options in American stock markets, and is divided into bullish section and bearish section during the sample period. We use VAR models and ARMA-GARCH models to empirically examine the relationship. The result shows that : (1) that stock market returns has significantly influence on the investment sentiment variables in a nonlinear way；(2) the stock market returns have influence more the sentiment indexes constructed from put options than the sentiment indexes constructed from call options；(3) The way that the stock market returns affect the sentiment indexes is clear when the direction of the short-period trend is the same as the long-period trend.
