本文旨在探討投資人情緒與ETF成分股報酬之關係，並以ETF台灣50成分股為研究對象，其中投資人情緒指標分為直接與間接指標，研究期間為2013年至2022年共10年期間。研究結果發現直接情緒指標消費者信心指數對台灣50成分股報酬率呈現反向顯著影響，但間接情緒指標券資餘額比及臺指選擇權波動率指數對台灣50成分股報酬率存在正向顯著影響。消費者信心指數愈高，報酬緒愈低，週轉率與臺指選擇權波動率指數愈高，報酬率則愈高。台灣50成分股係台股市值前50大之大型股，顯示投資人情緒亦存在大型股中。上述結果有助於更釐清股票市場投資人情緒之研究與股票投資實務相關議題。 This paper aims to explore the relationship between investor sentiment and stock returns of ETF component shares. The author uses the data of the Taiwan 50 Constituents to discuss on investor sentiment indicators and stock returns, in which investor sentiment indicators are divided into direct and indirect indicators. The research period is ten years from 2013 to 2022. The results show that Consumer Confidence Index has a negative impact on stock returns. The turnover rate as well as the Taiwan index option volatility index have a positive impact on stock returns. The higher Consumer Confidence Index, the lower rate of returns. The higher turnover and option volatility index, the lower the rate of return. The above results show that investor sentiment is also present in large stocks. The above results help clarify this issue by showing that investors appear to focus on investor sentiment in stock market.
