本文以2014年至2022年台灣上市、上櫃公司作為研究樣本，以Google 搜尋量指數(SVI)作為投資者關注程度之衡量變數，並使用台灣大額頭獎的公益彩券作為投資者對於股票市場關注度的外生衝擊，以探討投資者股票市場關注度對於股票報酬的影響。實證結果如下：(1)投資者對於市場關注度與彩券的大額頭獎日呈現顯著負向關係；(2)在大額彩票日，股票報酬與市場之間共移性顯著增加，推論其原因為在注意力有限的情況下，投資者在股票市場選擇性的關注更多總體消息，從而使股票報酬中含有更多的總體訊息所致；(3)在樂透型股票中，散戶較為偏好的股票，其股票報酬與市場之間的共移性存在更為顯著正向關係。總結以上結果，本文發現在台灣股票市場中，大額頭獎的彩券能夠將台灣投資者對於市場的關注度吸引過來，使其傾向關注總體特定訊息，減少關注公司基本面的特定信息，導致股票報酬與市場產生共移效果。此外，此情況在散戶偏好的樂透型股票更為顯著，且本研究發現並不是由賭博情緒所引發的。

This study investigates how investor attention impacts stock returns using Google Search Volume Index (SVI) to measure attention and significant lottery jackpots in Taiwan as an external attention shock. The dataset covers Taiwan's listed and OTC stock mar kets between 2014 and 2022. The findings are as follows: (1) Investor attention and large lottery jackpots exhibit a negative relationship; (2) On days with such jackpots, the correlation between stock returns and the market substantially rises. This impli es that within a context of limited attention, investors pay more heed to overall market news, leading to the infusion of greater macroeconomic information into stock returns. Additionally, among lottery type stocks favored by retail investors, the correla tion between stock returns and the market is even more positive, independent of gambling sentiment. This underscores that in Taiwan's stock market, significant lottery jackpots capture investor attention, prompting them to selectively concentrate on macroe conomic market data, thereby generating a synchronized co movement between stock returns and the market.

論文審定書......................................................................................................................... i
致謝 .............................................................................................................................. ii
摘要 ............................................................................................................................. iii
Abstract..............................................................................................................................iv
Content ..............................................................................................................................v
List of Tables.....................................................................................................................vi
1. Introduction.............................................................................................................1
2. literature review.......................................................................................................5
2-1. The Impact of Rational Inattention on Stock Returns..............................................5
2-2. The Relationship Between Retail Investor Preferences and Lottery-Type Stocks ......6
2-3. Formulation of the Hypothesis ..............................................................................8
3. Research Methodology...........................................................................................10
3-1. Data Source and Sample Description ...................................................................10
3-2. Main Research Variables....................................................................................12
3-3. Research Methodology and Model ......................................................................17
4. Empirical Results...................................................................................................26
4-1. Sample Descriptive Statistics and Correlation Coefficient Analysis.......................26
4-2. Hypothesis Testing and Regression Results..........................................................31
5. Conclusions and Suggestions..................................................................................47
References.........................................................................................................................50

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