股票波動、當沖交易與報酬

投資人在同一天同時買進與賣出同一支股票稱之為當沖。當沖交易在台灣市場佔總成交金額約20%，對股票市場有很大的影響力。相對於過去當沖研究主要針對當沖者是否獲利進行探討，本研究採用1995-1999年台灣證券交易所散戶交易資料，分析(1)影響當沖者績效與偏好的因素、(2)個股過去波動特性與當沖量的關係及(3)當沖交易對股票波動與報酬的影響。本研究發現(1)平均而言當沖者獲利顯著為負，且交易高波動股票的比重越高者績效越差，顯示當沖散戶並沒有利用波動賺錢的能力。(2)進一步將當沖者分為贏家與輸家兩個群組，發現只有贏家具有利用波動賺錢的能力。並發現輸家在經歷過去一段賺錢的時期之後會增加波動偏好，但波動偏好會傷害輸家的投資績效，顯示輸家在當沖交易上有過度自信的現象。但當沖贏家在賺錢後會變得更謹慎，減少交易高波動的股票。最後，在當沖交易對股票報酬的影響上，發現過去波動較劇烈的股票較吸引當沖交易，且當沖量會趨動股票的當期風險，並可預測股票未來的報酬會越低。

關鍵字

當沖；波動；報酬

並列摘要

When an investor buys and sells the same stock on the same day, he has made a day trade. Day trading by retail investors has big influence in Taiwan stock market – for over 20% of total volume. We analyze the performance and the preference of retail day traders in Taiwan from 1995 through 1999, and find the following results: (1) In average, individual day traders lose money from day trading and can’t earn money through the pattern of stock volatility. (2) We further group individual day traders into winners and losers and find that only winners are able to earn money through the pattern of stock volatility. Additionally, losers lose more money when they day trade more high volatility stocks and their preference of stock volatility grow stronger when they got better performance previously, which indicates that their performance suffer by their overconfidence. (3) Finally, We find that high volatile stocks attract more day trading, and high day trading enhance stock risk and predict the lower future return.

並列關鍵字

Day trading ； Volatility ； Idiosyncratic volatility ； Return

參考文獻

Barber, Brad M., Yi-Tsung Lee, Yu-Jane Liu, and Terrance Odean, 2004, “Do Individual Day Traders Make Money? Evidence from Taiwan,” Working paper.

Google Scholar

Barber, Brad M., and Terrance Odean, 2001, “Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment,” Quarterly Journal of Economics 141, 261-292.