臺灣股票市場日內動能效應之研究

本篇論文主要討論臺灣市場是否普遍存在日內動能效應，並對其成因進行推論，以混合估計模型與固定效果模型對2008年至2021年臺灣上市股票市值前15大之公司的日內資料進行研究，發現以前一日收盤價計算之第一個半小時報酬對當日最後一個半小時報酬有顯主的解釋能力，此外在首半個小時交易量較高和面臨壞消息時股票日內動能效應更加顯著，但在金融海嘯時期與股票面臨好消息時日內動能則較不顯著。最後對於造成日內動能的成因，本篇文章除了驗證 Gao, Han, Li and Zhou (2018) 推論的落後資訊交易者 (Late Informed Trader) 將導致日內動能之外，本篇文章也發現權證發行方對現貨的避險需求為導致臺灣股票市場，普遍呈現日內動能效應的主要原因之一。

關鍵字

日內型態；動能；權證避險；落後資訊交易者；混合估計模型

並列摘要

This study discusses whether the intraday momentum effect generally exists in the Taiwan stock market. Using the top 15 stock sorted by market capitalization listed company at Taiwan stock exchange market between 2008 and 2021. We found that the last half-hour return is positively predicted by the first half-hour returns on the market as measured from the previous day’s market close. The predictive power which is both statistically and economically significant estimated by pooled OLS model and fix effect model. Additionally, the intraday momentum effect is stronger on higher first half-hour volume days and on bad news release days but weaker on recession days and on good news release days. Finally, we provide evidence that not only Late informed trader but also hedging demand from equity warrant issuer is the reason why intraday momentum effect is generally exists in the Taiwan stock market.