Sensitivity of News Confidence Index to Taiwan Stock Market

[[abstract]]本研究以公開新聞媒體資訊與股票市場間橫斷面關聯性之系列研究為基礎(Chen, 2003; Fang and Press, 2009; Engelberg and Parsons, 2011; Griffin, 2011)，延伸Vega (2006)與Demers and Vega (2011)對於個股新聞資訊內涵之解析概念，運用文辭語意解析技術分析新聞資訊內涵，納入臺灣證券交易所上市公司每日之新聞量化資訊並考量個股市值權重，建構媒體報導面反應之綜合新聞信心指數(aggregate news confidence index, ANCI)。本研究期間為2003年至2012年，應用中國時報與工商時報之個股相關新聞報導，分別建構日、週與月三種頻率之新聞信心指數，檢視其與市場變數特性(報酬、成交量、成交值、週轉率與波動度恐慌指數)的關係，進一步將各頻率新聞信心指數分成五個情緒區間，觀察在市場情緒較高或較低時，市場變數與新聞信心指數是否存在差異性之影響關係。同期關聯性之實證分析顯示，日、週及月頻率之新聞信心指標與市場成交值、週轉率及公司曝光比率存在顯著之正向影響關係；此外，新聞信心指標與波動度恐慌指數及市場交易量為反向影響關係，而市場報酬僅與週頻率之新聞信心指數存在顯著影響關係。由新聞信心指數與市場變數之向量自我迴歸模型發現，當市場信心指數在偏高、平均與偏低區間，而非落在最高或最低之情緒區間時，週及月頻率之新聞信心指標對市場報酬存在領先效果。新聞信心指標於投資組合之應用結果顯示，當期市場情緒指標較低(高)時，下一期投資組合之報酬表現較佳(差)，搭配公司特徵驗證之投資組合績效顯示，當前一期新聞信心指標較低時，由市值較低、週轉率及市價淨值比較高的個股所組成之加權平均投資組合可獲得較高的報酬。綜上所述，本研究主要貢獻在於彙整並解析上市公司之新聞語料，考量個別公司市值權重，計算新聞報導隱含的信心水準，驗證財經新聞反映的信心程度對股票市場之影響，研究成果可作為市場參與者評估市場氛圍與交易決策之參考。[[abstract]]This study is based on a series research which focused on the relationship between public media information and stock market (Chen, 2003; Fang and Press, 2009; Engelberg and Parsons, 2011; Griffin, 2011). The linguistic analysis is employed to quantify the information content by extending the concept of linguistic analysis from Vega (2006) and Demers and Vega (2011). Further, this study constructs a market aggregate news confidence index (ANCI) by collecting the huge Chinese financial news related to each stock listed on the Taiwan Stock Exchange and considering the market value. The study period extends from January 2003 to December 2012 and employs individual stocks news of China times and Commercial times to construct the daily, weekly and monthly ANCI respectively. The findings show that trading volume, trading value, turnover ratio and volatility index will increase when the previous daily or weekly ANCI is positive. Furthermore, the investors’ fear gauge of the volatility index decreases when the lagged term of ANCI increases. The empirical results show that daily ANCI could be a leading index to the trading volume, trading value, turnover and volatility index in the Taiwan stock market. On the other hand, weekly and monthly ANCI could be a leading index to the market returns. The findings of portfolio application present that the lower(higher) confidence index, the higher the subsequent return, moreover, the result confirms that investors could buy selected portfolios with higher turnover, smaller size or lower stock price to book value while the previous higher confidence scenarios is distinguished. This study contributes to previous studies that the degree of confidence reflected by the qualitative news reports should be incorporated in the field of the sentiment proxy for decision making