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姓名 林保翔(Pao-Hsiang Lin) 查詢紙本館藏 畢業系所 財務金融學系在職專班 論文名稱 ETF盤中零股成交量與報酬率之相關性 相關論文 檔案 [Endnote RIS 格式] [Bibtex 格式] [相關文章] [文章引用] [完整記錄] [館藏目錄] [檢視] [下載]
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摘要(中) 本文以臺灣市值前4大之上市ETF為研究樣本,包含元大台灣卓越50證券投資信託基金(證券代號:0050)、元大台灣高股息證券投資信託基金(證券代號:0056)、國泰台灣ESG永續高股息ETF基金(證券代號:00878)及富邦台灣釆吉50基金(證券代號:006208),探討臺股開放盤中零股交易(2020年10月26日),盤中零股成交股數對於未來報酬率之相關性及可預測性,以迴歸模型分析。實證結果發現,在盤中零股的成交股數較低的交易日買進,未來可獲得的報酬顯著較高,相反的,在交易股數較高的交易日買進,則後續會獲得較差的報酬,意即在投資人情緒較低的時候買進,未來股價反轉向上的可能性較高,而在投資人情緒高昂的時候買進,容易因為投資人反應過度,導致過度推升股價,造成未來股價反轉向下的可能性較高。 摘要(英) This article uses the top 4 listed ETFs in Taiwan in terms of market capitalization, including Yuanta/P-shares Taiwan Top 50 ETF (stock code: 0050), Yuanta Taiwan Dividend Plus ETF (stock code: 0056), Cathay MSCI Taiwan ESG Sustainability High Dividend Yield ETF (stock code: 00878) and Fubon FTSE TWSE Taiwan 50 ETF (stock code: 006208) as the sample: The results of the empirical analysis were that buying on the trading day when the number of Odd Lot traded in the ETF is lower will result in a significantly higher return. On the contrary, buying on a trading day with a high number of shares traded will result in a poorer payoff, meaning that buying at a time when investor sentiment is low will result in a higher probability of upward stock price reversal, while buying at a time when investor sentiment is high will result in a higher probability of downward stock price reversal due to an overreaction by investors, which will lead to an excessive push in stock price. 關鍵字(中) ★ ETF
★ 投資人情緒
★ 盤中零股交易
★ 報酬
★ 成交量關鍵字(英) ★ ETF
★ Investor sentiment
★ odd-lot trading
★ Volume
★ Return論文目次 摘要 I
ABSTRACT II
目錄 III
表目錄 IV
圖目錄 V
第一章 緒論 1
1-1研究背景與動機 1
1-2研究目的 1
1-3研究架構 2
第二章 文獻回顧 4
2-1投資人情緒 4
2-2 ETF介紹 7
2-3臺股盤中零股交易制度 8
第三章 資料與研究方法 9
3-1資料來源及期間 9
3-2研究方法與假說 9
第四章 實證結果與分析 11
4-1樣本敘述 11
4-2交易量與報酬率相關性分析 15
4-3 ETF盤中零股成交股數分組分析 16
4-4 ETF盤中零股成交股數對報酬率的影響迴歸分析 24
第五章 結論與建議 28
5-1 研究結論 28
5-2未來研究方向建議 29
參考文獻 30參考文獻 [1] 周賓凰、張宇志、林美珍:〈投資人情緒與股票報酬互動關係〉,《證券市場發展季刊》,第十九卷第二期,2007,154-190頁
[2] 蔡佩蓉、王元章、張眾卓:〈投資人情緒、公司特徵與台灣股票報酬之研究〉,《經濟研究》,45(2),2009,273-322頁
[3] Barber, B., T. Odean and N. Zhu, Do Noise Traders Move Markets? EFA 2006 Zurich meetings paper, September 2006
[4] Baker, M. and J. Wurgler, Investor Sentiment and the Cross-Section of Stock Returns, The Journal of Finance, Volume 61, Issue4, August 2006, Pages 1645-1680
[5] Baker, M. and J. Wurgler, Investor Sentiment in the Stock Market, Journal of economic perspectives, Volume 21, Number 2, 2007, Pages 129-152
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[7] Chung, S. L., C. H. Hung and C. Y. Yeh, When does investor sentiment predict stock returns? Journal of Empirical Finance, Volume 19, Issue 2, March 2012, Pages 217-240
[8] DeLong, J. B., A. Shleifer, L. H. Summers and R. J. Waldmann, 1990, Noise Trader Risk in Financial Markets, Journal of Political Economy, Volume 98, Number 4, August 1990, Pages 703-738
[9] Edelen, R., A.J. Marcus and H. Tehranian, Sentiment and Stock Returns, Financial Analysts Journal, Volume 66, Issue 4, 2010 , Pages 20-32
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[11] Ni, Z. X., D. Z. Wang and W. J. Xue, Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model, Economic Modelling, Volume 50, November 2015, Pages 266-274
[12] Schmeling, M., Investor sentiment and stock returns: Some international evidence, Journal of empirical finance, Volume 16, Issue 3, June 2009, Pages 394-408
[13] Stambaugh, R., J. Yu and Y. Yuan, The short of it: Investor sentiment and anomalies, Journal of Financial Economics, Volume 104, Issue 2, May 2012, Pages 288-302指導教授 周賓凰(Pin-Huang Chou) 審核日期 2023-7-5 推文 facebook plurk twitter funp google live udn HD myshare reddit netvibes friend youpush delicious baidu 網路書籤 Google bookmarks del.icio.us hemidemi myshare