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姓名 王喬緯(Chiao-wei Wang)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 個別投資人日內交易損益:臺灣期貨市場實證分析
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摘要(中) 本論文分析臺灣期貨市場所有投資人的交易資料,探討個別投資人是否能透過日內交易獲利,以及投資人交易績效之持續性。研究結果顯示,臺灣期貨市場之日內交易情形非常熱絡,平均日內交易量占每日總交易量的53%,而個別投資人的日內交易量占總日內交易量的68%。在交易獲利方面,約有8%的個別投資人能夠藉由日內交易獲利,而這些投資人的日內交易量占總市場交易量的60%。在考慮交易成本後,大額交易人仍能獲利;而過去日內交易績效較佳的投資人,仍能持續獲利。過去為市場贏家的投資人,其下一期的交易量會增加;而過去交易績效較差的投資人,其下期的交易量減少。進一步分析日內交易部位的長期報酬之後,結果顯示大額交易人可以透過日內交易累積超額報酬,但是卻不適合長期的投資策略。
摘要(英) This thesis studies the performance of day trades in the Taiwan Futures Exchange (TAIEX) for the period between January 2007 and March 2009. We investigate the influence of past trading activities on subsequent returns from day trading. The results indicate that day trading is prevalent in the TAIEX futures market. Day trading accounts for 53% of total trading activities, of which individual investors account for 68% of the day trading volume. About 8% of the individual investors can profit by day trading; day trading of these investors accounts for 60% of all day trading activities. Heavy day traders can earn gross profits and their sufficient profits can cover transaction costs. There is a positive relation between past profitability and subsequent returns. Day traders who historically earned profits continue to earn profits. Moreover, trading performance will influence subsequent trading activities. Day traders with better performance will increase their day trading activities and traders with poor performance will reduce their day trading activities in subsequent three month period. Finally, we analyze the holding return of day trading. Heavy day traders have poor holding return than occasional day traders. They can accumulate excess profits through day trading, but not long-term holding strategy.
關鍵字(中) ★ 交易損益
★ 個別投資人
★ 期貨市場
★ 日內交易
關鍵字(英) ★ individual trader
★ trading performance
★ day trade
★ future market
論文目次 第一章、 緒論 1
第一節、 研究背景與動機 1
第二節、 研究目的 3
第二章、 文獻回顧 4
第一節、 日內交易 4
第二節、 個別投資人行為偏誤 8
第三章、 研究資料及研究方法 15
第一節、 研究資料 15
一、 股價指數期貨交易簡介與交易規則 15
二、 研究樣本 17
三、 計算日內交易口數 17
第二節、 日內交易績效的衡量 19
一、 各帳戶日內交易毛損益 19
二、 各帳戶日內交易淨損益 19
第四章、 實證結果 21
第一節、 依日內交易量分組之投資人績效表現 21
第二節、 依日內交易績效分組之投資人績效表現 23
第三節、 日內交易績效是否會影響交易行為? 25
第四節、 不同持有期間之部位損益 26
第五章、 結論與建議 29
第一節、 研究結論 29
第二節、 研究限制與建議 30
參考文獻 32
參考文獻 [1] 郭敏華著,行為財務學-當財務學遇上心理學,智勝文化事業有限公司,台北2009年3月初版。
[2] 賴慧君,當日沖銷交易獲利影響因素之研究,政大企業管理學系碩士論文,2002年。
[3] 張傳章、周賓凰、賴弘能、王耀輝,臺灣期權市場投資人下單行為與結算違約風險相關性之研究,期交所計劃報告,2006年。
[4] 邱菡婷,應用股票市場委託單不均衡於期貨市場當沖交易策略之研究,成大財務金融所碩士論文,2009年。
[5] Andrew, W. L., Dmitry V Repin and Brett N. Steenbarger (2005). "Fear and Greed in Financial Markets: A Clinical Study of Day-Traders." American Economic Review 95: 352-359
[6] Barber, B. M. and T. Odean (2000). "Trading is hazardous to your wealth: The common stock investment performance of individual investors." Journal of Finance 55: 773-806.
[7] Barber, B. M. and T. Odean (2001). "Boys will be boys: Gender, overconfidence, and common stock investment." Quarterly Journal of Economics 116: 261-292.
[8] Barber, B. M. and T. Odean (2002). "Online investor: Do the slow die first?" Review of Financial Studies 15: 445-487.
[9] Barber, B. M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean (2005). "Do day traders make money?" working paper, University of California.
[10] Barber, B. M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean (2009). "Just How Much Do Individual Investors Lose by Trading?" Review of Financial Studies 22: 609-632.
[11] Choe, H. and Y. Eom (2009). "The disposition effect and investment performance in the futures market." Journal of Futures Markets 29: 496-522.
[12] Chou, R. K. and Y.-Y. Wang (2011). "A test of the different implications of the overconfidence and disposition hypotheses." Journal of Banking & Finance 35: 2037-2049.
[13] Chou, R. K., X. Yan and Y.-Y. Wang (2010). "Patterns and consequences of the disposition effect " working paper, National Chengchi University
[14] Dhar, R. and N. Zhu (2006). "Up close and personal: investor sophistication and the disposition effect." Management Science 52: 726–740.
[15] Garvey, Ryan and A. Murphy (2002). "How Profitable Day Traders Trade: An Examination of Trading Profits." working paper.
[16] Gervais, S. and T. Odean (2001). "Learning to be overconfidence." Review of Financial Studies 14: 1-27.
[17] Harris, J. H., and Paul H. Schultz (1998). "The trading profits of SOES bandits." Journal of Financial Economics 50: 39-62.
[18] Jordan, D. J. and J. D. Diltz (2003). "The profitability of day traders." Financial Analysts Journal 59:.85-94
[19] Kahneman, D. and A. Tversky (1979). "Prospect theory : An analysis of decision under risk." Econometrica 47: 263-91.
[20] Kaniel, R., Gideon Saar and Sheridan Titman (2008). "Individual investor trading and stock returns." Journal of Finance 63: 273-310.
[21] Kingsley Y. L. Fong, D. R. G., Adrian D. Lee (2009). "Who Wins and Who Loses Among Individual Investors?" working paper, University of New South Wales.
[22] Linnainmaa, J. (2003). "The Anatomy of Day Traders." working paper, UCLA.
[23] Linnainmaa, J. (2005). "The Individual Day Trader." working paper, UCLA.
[24] Locke, P. R. and Z. Onayev (2005). "Trade duration: information and trade disposition." Financial Review 40: 113-129.
[25] Odean, T. (1998). "Are investors reluctant to realize their losses?" Journal of Finance 53: 1775-1798
[26] Odean, T. (1998). "Volume, Volatility, price, and profit when all traders are above average." Journal of Finance 53: 1887-1934.
[27] Odean, T. (1999). "Do investor trade too much?" American Economics Review 89: 1279-1298.
[28] Odean, T. (1999). "Do investors trade too much?" American Economic Review 89: 1279-1298.
[29] Seasholes Mark and G. Wu (2004). "Profiting from Predictability: Smart Traders, Daily Price Limits, and Investor Attention." working paper, U.C. Berkeley.
[30] Shefrin, H. and M. Statman (1985). "The disposition to sell winners too early and ride losers too long: theory and evidence." Journal of Finance 40: 777-790.
[31] Statman, M., S. Thorley, et al. (2006). " Investor overconfidence and trading volume." Review of Financial Studies 19: 1531-1565.
[32] Weber, M. and C. F. Camerer (1998). "The disposition effect in securities trading: an experimental analysis." Journal of Economic Behavior & Organization 33: 167-184.
指導教授 高櫻芬(Yin-Feng Gau) 審核日期 2011-7-21
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