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  • 學位論文

現股當沖新制對市場及個股報酬率、週轉率與成交量影響效果之研究

The Influentials of Newly Day Trading System on Taiwan Stock Markets and Individual Stock Returns, Turnovers and Trading Volume

指導教授 : 古永嘉
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摘要


本研究探討現股當日沖銷制度實施對上市指數、上櫃指數與台灣50成分股個股週轉率、報酬率與成交量之影響效果。研究資料取自台灣經濟新報資料庫,以台灣上市、上櫃指數與台灣50成分股為研究對象,以現股當日沖銷實施日103年1月6日至當年度12月17日共計235交易日,合計235筆日資料。依變數為週轉率、報酬率與成交量,自變數為當日沖銷金額及沖銷比率。採用多元迴歸分析模型進行實證,檢視政策實施現股當日沖銷之影響效果,以供市場參與者參酌交易之用途與政策意函檢討之用。實證結果發現:一、當日沖銷金額及沖銷比率對上市、上櫃指數之週轉率與成交量具顯著影響。其中,上櫃指數顯著之程度高於上市指數,研判投資人偏好操作股本小籌碼集中之中小型類股;二、在台灣50成分股方面,當日沖銷金額及沖銷比率對週轉率、報酬率與成交量皆呈顯著影響;三、電子類股於各變數影響程度高於其他兩大類股,顯示投資人偏好題材多、股性活潑之電子類股;金融與傳產類股則因股性溫和,較適合波段操作或中長期持有,不利當日沖銷短線進出交易。綜上所述,現股當沖制度開放後,有效活絡證券市場並提供投資人更加彈性之操作,促使股市成交量能之提升,達到政策實施之預期效果。

並列摘要


This study attempts to analyze the effects of newly day trading system on turnovers, returns, trading volume of Taiwan stock exchange (TSE), OTC market indexes and Taiwan 50 index stocks. The research data, ranging from Jan. 6 to Dec. 17 of 2014, were collected from Taiwan Economic Journal data bank, with a total of 235 observations. The dependent variables are turnovers, returns and trading volume; the independent variables are day trading amount and ratio. The multiple regression analysis were employed. Empirical results are summarized as follows: 1. The day trading amount and ratio has significant impacts on turnover rate and trading volume of TSE and OTC indexes. The effects on OTC index are higher than TSE index due to investors’ preference on smaller issuing stocks. 2. The day trading amount and ratio has significant impacts on turnover rate and trading volume of Taiwan 50 index stocks. 3. Specifically, the impacts on turnover rate and trading volume of electronic stocks are greater than financial and traditional stocks due to greater news exposure and price volatility. It implies that financial and traditional sectors are suitable for long-term holding.

參考文獻


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