台灣股票市場報酬日內模式探討

The Intraday Patterns of Stock Returns: Evidence and Implications of Taiwan Stock Market

邱志忠(Jr-Jung Chiou)

指導教授 ： 楊朝成

國立臺灣大學/管理學院/財務金融學研究所/博士(2012年)

https://doi.org/10.6342/NTU.2012.00931

摘要

本研究藉由15分鐘的價格資料，探討台灣上市公司之日內股票報酬模式，期間由1995年1月至2009年11月，共計約15年時間。首先探討所有樣本公司的日內報酬模式，再探討開盤後、盤中及收盤前的報酬模式。接著將樣本公司依據主計處產業分類表分類，選取三個產業分析其日內報酬模式，並與總樣本公司結果比較。結果顯示不論是總樣本公司結果，或是產業分類後的結果，均存在價格反轉的模式。

關鍵字

價格反轉 ； 日內報酬模式

並列摘要

This paper studies the intraday pattern of stock price for a sample of the Taiwan Stock Exchange listed firms over the period 1995-2009. First, we examine the stock returns dynamics of all firms traded on Taiwan Stock Exchange. Besides, we divide trading day to three equal periods and examine the price patterns in each subperiod. Second, we examine the impact of industry effect on intraday return patterns. Three industries are analyzed and the empirical results show that industry effect has impact on intraday return patterns. The empirical results show that stock returns show a price reversal pattern.

並列關鍵字

price reversal ； intraday return pattern

參考文獻

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