本論文分析臺灣期貨市場當沖交易的交易概況，探討不同類別投資人的獲利能力，以及影響當沖報酬的因素。研究結果顯示，台灣期貨市場的當沖交易非常活絡，平均當沖交易占總交易量的74.71%，而個別投資人為主要的參與者，占了當沖交易的66.68%。而先賣當沖可獲得比先買當沖更多的報酬，40.16%的先賣當沖，其當沖報酬可以超越當日的市場報酬。在交易獲利方面，整體而言，平均每筆當沖交易投資人會有-111.55的虧損，以投資人類別分類後可以發現，和股票市場有很大的不同，有52.23%的個別投資人可以在當沖交易中獲利，而投信只有21.04%。整體投資人績效方面，在考慮交易成本後，只有外資可以獲得正報酬，相較其他投資人具有資訊優勢，而自營商和投信的績效則比個別投資人差，並不具有資訊優勢。
交易量分析方面，平均而言，在研究期間內交易量小於10筆的投資人可以獲得較高的報酬，而交易量大於10000的投資人則有小幅度的虧損。在單獨分析波動度較大的交易日中，發現投資人在這些交易日中可以獲得比平常更多的報酬。我們進一步去分析在研究期間內績效表現較好的投資人，發現他們平均的交易量只有12.65筆，這類投資人並不傾向先買和先賣當沖，但是傾向一天只從事一種當沖交易，但先賣當沖的報酬仍然會多於先買當沖。這些投資人的報酬有集中於波動度大的交易日的趨勢，而交易時間比般人的交易時間要來的長，平均一筆交易為91到96分鐘，而整體投資人的交易時間約為48到50分鐘。
在迴歸模型中，我們發現市場報酬、交易量、時間、投資人過去績效對於當沖報酬都有顯著的解釋能力，然而，交易時間對於報酬卻是負向的關係。在解釋力方面，先賣當沖的解釋力較先買當沖好，而超額報酬模型的解釋力較當沖報酬模型好。 / When an investor buys and sells the future on the same day, he was made a day trade. This thesis studies the performance of day trades in the Taiwan Furtures Exchange(TAIEX) for the period between July 2006 and December 2006. Day trading accounts for 74.71% of total trading activities, of which individual investors account for 66.68% of the day trading volume. The results showed that sell and then buy day trading can earn more profits than buy then sell day trading, about 40.16% of the sell and then buy day trading can earn more profits than market return. In aggregate, day traders earn mean gross profits(before transaction costs) of $NT 199 per transaction, but net losses(after a reasonable accounting for transaction costs) of $NT 111 per transaction. After we categorize day traders, we find that about 52.23% of the indiviual investers can profit by day trading activities, and only foreign investors can earn sufficient profits to cover transaction costs.
To analyze the performed better investers, we find that their average trading volume only have 12.65 within half year, they don’t tend to sell and then buy day trading or buy then sell day trading, but they tend to engage one kind of trading in one day, and sell and then buy day trading can earn more profits than buy then sell day trading. Their trading time is longer the others, about 91 to 96 minutes, other traders’ trading time only about 48-50 minute.
Overall, the evidence suggests that market returns、trading volume、trading time and past profitablilty have a strong relation with subsequent returns, day traders who historically earned profits continue to earn profits. The statistical power of sell and then buy regression model is stronger than buy then sell regression model.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0101357034 |
| Creators | 張家齊, Chang, Chia Chi |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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