近幾年來，東亞地區的股票市場經常受到全球性的金融危機所影響而產生震盪，而其震盪的幅度遠超過於其基本面的變動，這個現象難以用傳統的效率市場理論解釋。本研究使用Schmeling (2009) 所使用的做法，將消費者信心指數(Consumer Confidence Index, CCI) 視為代表投資人情緒的因子，並建構出四個東亞地區主要國家之投資人情緒指數，包含台灣、日本、韓國與中國，同時也建構出全區域性的投資人情緒指數，探討全區域性與個別國家之投資人情緒對股票市場報酬的影響。本研究也使用了世界主要六個工業國的消費者信心指數來建構全球性的投資人情緒指數，包含美國、英國、法國、德國、義大利與日本，並進一步分析全球投資人情緒與國家投資人情緒是否對該國的股票市場報酬產生影響。實證結果發現，在除了中國大陸以外的東亞地區，投資人情緒對於未來股票市場報酬具有顯著的負向影響，而在中國大陸則具有顯著的正向影響。而在投資人情緒的散播來源方面，日本股票市場報酬主要受到全球投資人情緒影響，韓國股票市場主要會受到周遭國家的投資人情緒所影響，台灣股票市場則同時會受到周遭國家的投資人情緒與本國投資人情緒所影響，中國大陸股票市場主要被本國投資人情緒所支配。
本研究也對兩種根據公司規模以及股價波動性所建構的多空投資組合的報酬進行分析，實證結果發現在東亞地區投資人情緒對於不同國家的規模溢酬並不具有一致性的影響。而在東亞地區，除了中國大陸以外，投資人情緒對波動性溢酬皆具有顯著的負向影響。

In recent years, East Asia's stock markets are often subject to the global financial crisis and generate shocks, while the shocks are far more than the magnitude of the changes in theirs fundamentals. This phenomenon is difficult to explain by the traditional efficient market theory. Therefore, this study adopts Schmeling (2009)’s research method which sees the consumer confidence index (CCI) as the investor sentiment to construct the investor sentiment index of four major Asia countries including Taiwan, Japan, South Korea and China, and a region-wide investor sentiment. The main purpose of this research is to discuss the impact of region-wide investor sentiment and individual countries investor sentiment on stock market returns. This study also adopts consumer confidence index (CCI) to construct the worldwide investor sentiment index based on the major six industrial countries of the world including America, England, France, Germany, Italy and Japan. Furthermore, this study analyzes whether the worldwide investor sentiment index and the investor sentiment of individual countries have the impact on stock market return. This study discovers that the investor sentiment index have negative significance influence on stock market return in Asia countries except for China. In China, it displays positive significance impact on stock market return. For the sources of investor sentiment, Japan stock market return is mainly affected by the worldwide investor sentiment. South Korea stock market return is mainly affected by the investor sentiment of neighboring countries. Taiwan stock market return is also mainly affected by the investor sentiment of neighboring countries and the domestic investor sentiment. Finally, China stock market return is mainly dominated by the domestic investor sentiment. Moreover, this study also analyzes long-short portfolio return which is constructed based on the firm size and the volatility of stock price. The result shows that the investor sentiment does not have the consist influence on different countries’ size premium in Asia. In addition, in Asia, the investor sentiment has negative significance on the volatility premium except for China.

Baker, M., and Wurgler, J. (2000). The equity share in new issues and aggregate stock returns. The journal of Finance, 55(5), 2219-2257.
Baker, M., and Wurgler, J. (2006). Investor sentiment and the cross section of stock returns. The journal of Finance, 61(4), 1645-1680.
Baker, M., Wurgler, J., and Yuan, Y. (2009). Global, local, and contagious investor sentiment. Globalization and Monetary Policy Institute Working Paper.
Barber, B. (1999). Noise trader risk, odd-lot trading, and security returns: Working Paper, University of California at Davis.
Black, Fischer. (1986). Noise. Journal of Finance, 41(3), 529-543.
Brown, G.W., and Cliff, M.T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27.
Chang, Y.Y., Faff, R., and Hwang, C.Y. (2009). Does investor sentiment impact global equity markets? : working paper.
Chopra, Navin, Lee, Charles M.C., Shleifer, Andrei, and Thaler, Richard H. (1993). Yes, discounts on closed-end funds are a sentiment index. Journal of Finance, 48(2), 801-808.
De Long, J. Bradford, Shleifer, Andrei, Summers, Lawrence H., and Waldmann, Robert J. (1990). Noise Trader Risk in Financial Markets. Journal of Political Economic, 703, 713-717.
De Long, J.B., Shleifer, A., Summers, L.H., and Waldmann, R.J. (1990). Noise Trader Risk in Financial Markets. Journal of Political Economy, 98(4).
Elton, E.J., Gruber, M.J., and Busse, J.A. (1998). Do investors care about sentiment? Journal of Business, 71(4), 477-500.
Fama, E.F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.
Figlewski, S. (1979). Subjective information and market efficiency in a betting market. The Journal of Political Economy, 87(1), 75-88.
Fisher, K.L., and Statman, M. (2000). Investor sentiment and stock returns. Financial Analysts Journal, 56(2), 16-23.
Friedman, M. (1953). The case for flexible exchange rates. Positive Economics, 157-203.
Glushkov, D. (2006). Sentiment beta. Unpublished paper.
Harris, L., and Gurel, E. (1986). Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures. The journal of Finance, 41(4), 815-829.
Jones, C. (2002). A century of stock market liquidity and trading costs: working paper, Columbia University.
Kahneman, D., and Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the Econometric Society, 47(2), 263-291.
Keynes, J.M. (1936). The general theory.
Lee, C., Shleifer, A., and Thaler, R.H. (1990). Investor sentiment and the closed-end fund puzzle (Vol. 3465). NBER Working Paper National Bureau of Economic Research Cambridge, Mass., USA.
Lee, W.Y., Jiang, C.X., and Indro, D.C. (2002). Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking & Finance, 26(12), 2277-2299.
Lemmon, M., and Portniaguina, E. (2006). Consumer confidence and asset prices: Some empirical evidence. Review of Financial Studies, 19(4), 1499.
Lucas, R.E. (1972). Expectations and the Neutrality of Money. Journal of economic theory, 4(2), 103-124.
Olsen, R.A. (1998). Behavioral finance and its implications for stock-price volatility. Financial Analysts Journal, 10-18.
Qiu, L., and Welch, I. (2004). Investor sentiment measures: National Bureau of Economic Research Cambridge, Mass., USA.
Schmeling, M. (2009). Investor sentiment and stock returns: Some international evidence. Journal of Empirical Finance, 16(3), 394-408.
Shiller, R.J., Fischer, S., and Friedman, B.M. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity, 1984(2), 457-510.
Shleifer, A. (1986). Do demand curves for stocks slope down? The journal of Finance, 41(3), 579-590.
Shleifer, A. (2000). Inefficient markets: An introduction to behavioral finance: Oxford University Press, USA.
Shleifer, Andrei, and Vishny, R.W. (1997). The limits of arbitrage. Journal of Finance, 52(1), 35-55.
Solt, M.E., and Statman, M. (1988). How useful is the sentiment index? Financial Analysts Journal, 44(5), 45-55.