本研究嘗試透過衡量目前股票泡沫程度，建構個股恐慌指標，以對未來股價崩跌進行預測，並建立交易策略與未考慮股票泡沫所建構之恐慌指標進行比較，以驗證本文所建立之個股恐慌指標是否更具預測能力? 泡沫程度的衡量是採用Phillip(2015)發展的GSADF(generalised Sup-ADF)為基礎所延伸的BSADF(backward Sup-ADF)因子. 此外，本研究擬經由個股恐慌指標的網絡分析，觀察股票間的恐慌傳遞情形，並探討恐慌指標網絡參數與崩盤嚴重程度之關聯。除網絡分析外，本研究另以VECM模型分析不同市場狀態的恐慌傳遞速度和傳遞來源，以探討恐慌所造成的骨牌效應是如何於不同產業間及上下游間傳遞。總結來說，本文除比較泡沫對於恐慌指標指標的重要性外，更結合網絡分析結合VECM模型以觀察崩跌傳遞動態。

Abstract
This study attempts to construct a stock panic index by measuring the current stock bubble level to predict the future stock price collapse, and establish a trading strategy to compare with the panic index constructed without considering the stock bubble to verify the stock panic index established in this article Is it more predictive? The measure of the degree of bubble is the BSADF (backward Sup-ADF) factor based on the GSADF (generalised Sup-ADF) developed by Phillip (2015). In addition, this study intends to use the network analysis of individual stock panic indicators , Observe the panic transmission situation among stocks, and explore the correlation between the panic indicator network parameters and the severity of the crash. In addition to network analysis, this study also uses the VECM model to analyze the panic transmission speed and transmission sources in different market states to explore how the domino effect caused by panic is transmitted between different industries and between upstream and downstream. In summary, in addition to comparing the importance of bubbles for panic indicators, this paper also combined network analysis and VECM model to observe the dynamics of collapse transmission.

論文審定書 i
公開授權書 ii
摘要 iii
CHAPTER 1.INTRODUCTION 1
1.1 MOTIVATION 1
1.2 PURPOSE 4
1.3 CONTRIBUTION 5
CHAPTER 2.LITERATURE REVIEW 6
2.1 DEFINITION OF CRASH 6
2.2 CRASH PREDICTION 7
2.3 CAUSE OF CRASH 9
2.3.1 Public information 9
2.3.2 Investor sentiment 10
2.3.3 Herding effect 13
2.4 BUBBLE AND CRASH 15
2.5 HOW PANIC IS PASSED 16
CHAPTER 3. METHODOLOGY 19
3.1 CRASH MEASUREMENT 19
3.2 PANIC INDEX COMPOSITION 20
3.2.1 Bubble 20
3.2.2 Herding 21
3.2.3 Public information 22
3.2.4 Investor sentiment 23
3.3 PANIC INDEX CONSTRUCTION METHOD 25
3.4 PANIC TRANSMISSION MEASUREMENT 25
3.4.1Network Analysis 26
3.4.2 VECM 28
CHAPTER 4. DESCRIPTIVE STATISTICS 29
4.1 DATA 19
4.2 CRASH PERIOD 29
4.3 BUBBLE FACTOR 32
4.4 PUBLIC INFORMATION FACTOR 34
4.5 HERDING FACTOR 37
4.6 INVESTOR SENTIMENT FACTOR 39
CHAPTER 5 EMPIRICAL RESULTS 48
5.1 COMPONENTS OF THE FEAR INDEX 48
5.2 COMPARISON OF FEAR INDEX 51
5.3 FEAR INDEX TRADE STRATEGY 53
5.4 FEAR INDEX NETWORK 57
5.5 FEAR TRANSMISSION 63
CHAPTER 6. CONCLUSION 66
CHAPTER 7. REFERENCE 68

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