股票波動與當沖交? Return Volatility and Day Trading

ASIAIR > College of Management > Department of Finance > Proceedings > Item 310904400/63767

Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63767

Title:	股票波動與當沖交? Return Volatility and Day Trading
Authors:	陳明憲;戴維芯;曾建閎;Chen, Ming-Hsien;Vivian, W.Tai;Tseng, Chien Hung
Contributors:	國?高雄第一科技大學財務管?學系;國?暨南國際大學財務?融學系;Department of Finance, National Kaohsiung First University of Science and Technology;Department of Banking and Finance, National Chi Nan University
Keywords:	當沖;波動;報酬;Day trading, Volatility, Idiosyncratic volatility, Return
Date:	2012/12/9
Issue Date:	2013-08-07 01:34:59 (UTC+0)
Publisher:	國?高雄第一科技大學財務管?學系;國?暨南國際大學財務?融學系;Department of Finance, National Kaohsiung First University of Science and Technology;Department of Banking and Finance, National Chi Nan University
Abstract:	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?在台灣市場佔總成交?額約20%，對股市交?有很大的影響?。相對於過去當沖研究主要針對當沖者是否獲?進?探討，本研究採用1995-1999 ?台灣證券交?所自然人知交?資?，分析股票波動與當沖績效與偏好的關係。本研究發現(1)平均而言，當沖者獲?顯著為負，且交?高波動股票的比重越高者績效越差，顯示當沖散戶並沒有?用波動賺錢的能?。 (2)進一步將當沖者分為贏家與輸家?個群組，發現只有贏家具備?用波動賺錢的能 ?。並發現輸家在經?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?上有過?自信的現象。但當沖贏家在賺錢後會變得?謹慎，減少交?高波動的股票。本文建議自然人應避免高風險的當沖交?。 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 impact of stock return volatility on 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.
Relation:	2013中部學術財金研討會論文發表
Appears in Collections:	[Department of Finance] Proceedings

Files in This Item:

There are no files associated with this item.

Loading...