本文利用2006年6月至2008年12月臺股期貨市場全體投資人的日內交易帳戶資料，計算各類型投資人實際損益，並研究過去交易行為與績效對於未來績效的影響。實證結果發現法人擁有資訊優勢，是市場上的長期贏家，以簡單平均作為衡量指標時，外國投資人交易績效最好，而個別投資人和一般企業的績效最差。投資人普遍存在過度自信，頻繁買賣所產生的交易成本使淨報酬降低，兩者呈現負相關。上一期績效差的投資人，未來獲利會變好，乃因其在交易過程中累積經驗，會逐漸調整交易行為並改善績效，學習理論可解釋過去績效與未來表現的關係。此外本研究也發現，機構法人與大戶交易頻率高，交易績效普遍優越，增加其繼續留在市場交易的意願，使其留存機會高，亦即交易頻率、交易績效與留存率皆呈現正向關係。This paper investigate investment performance of all trading accounts in TAIEX futures market between June 2006 and December 2008, we analysis the influence of past trading activities to future performance. Our result indicates that institutional investors are long term winners because of information advantage. Among all types of investors, foreign investors earn the most, individual and company loss the most. Investors are usually overconfident, their frequent trading result in excessive transaction cost which harm net profit. The past losers would turn better in the next three months, they cumulated experience from trading and adjusted their behavior to improve profit, the dynamic empirical results indicate that TAIEX futures market exist learning theory. Furthermore, institutional investors and big players have high trading frequency, their superior performance encourage them to stay. Our evidence reveals that trading frequency, trading performance and survival ratio have positive relation.
