社群網路快速的發展，許多投資人不僅會使用社群媒體來發表自己對股票市場的看法，也將社群媒體視為獲取資訊的來源之一。本研究欲探討社群媒體情緒與股票市場之間的關係，以知名論壇PTT的STOCK版為研究對象，使用自然語言處理BERT (Bidirectional Encoder Representations form Transformers )模型建構社群媒體情緒指標，觀察BERT模型對於情緒分類的能力，並以XGBoost模型進行股價報酬預測，觀察社群媒體情緒指標對於股價報酬的預測能力。最後在考慮交易成本下，使用當沖交易策略，進行回測，探討社群媒體情緒是否能提升投資績效。研究結果發現(一) BERT模型具有良好的情緒分類能力。(二) 社群媒體情緒資料能提升模型對股價報酬的預測能力。(三) 社群媒體情緒資料能提升當沖交易策略報酬。

With the rapid development of social networks, many investors not only use social media to express their views on the stock market, but also regard social media as one of the sources of information. This study intends to explore the relationship between social media sentiment and the stock market. Taking the STOCK board of the well-known forum PTT as the research object, we apply the natural language processing BERT (Bidirectional Encoder Representations form Transformers ) model to construct social media sentiment indicators, and observe the power of the BERT model to classify sentiments. We also use the XGBoost model to predict stock returns and observe the predictive capability of the social media sentiment indicators. Finally, under consideration of transaction costs, we construct the hedge trading strategy to explore whether social media sentiment can improve investment performance. The results of the study found that (1) the BERT model is good with multi-class sentiment classification tasks. (2) Social media sentiment indicators can improve the model’s performance to predict stock returns. (3) Social media sentiment indicators can improve the return of the hedge trading strategy.

論文審定書 i
摘要 ii
ABSTRACT iii
目錄 iv
圖次 vi
表次 vii
第一章緒論1
第一節 研究動機1
第二節 研究目的2
第三節 研究架構2
第二章 文獻回顧3
第一節 間接投資人情緒與股票市場關係3
第二節 直接投資人情緒與股票市場關係4
第三節 BERT模型於財經領域應用5
第三章 研究方法6
第一節 研究流程6
第二節 研究資料7
第三節 社群媒體留言處理7
第四節 BERT 模型10
第五節 留言情緒分數12
第六節 間接投資人情緒13
第七節 機器學習交易策略15
第四章 實證結果19
第一節 敘述統計19
第二節 BERT模型預測21
第三節 機器學習交易策略25
第五章 結論與建議33
第一節 結論33
第二節 研究建議34
參考文獻35

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