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題名 當沖交易對於市場品質的影響：以台灣股票市場為例
The Impact of Day Trading on Market Quality: Evidence from Taiwan Stock Market作者 黃僑尉
Huang, Chiao-Wei貢獻者 李志宏
Lee, Jie-Haun
黃僑尉
Huang, Chiao-Wei關鍵詞 當沖交易
波動度
流動性
市場效率
順勢交易
Day trading
Volatility
Liquidity
Market efficiency
Positive feedback trading日期 2023 上傳時間 9-Mar-2023 18:56:47 (UTC+8) 摘要 本研究探討當沖交易對於市場品質所造成的影響，以2021年間所有開放現股當沖交易之台灣上市櫃公司股票為研究樣本，運用個股之間現股當沖率不同的特性進行橫斷面分析。實證結果發現當沖交易會使得市場波動增加，而波動增加的原因是來自於資訊的反應。當沖交易者雖然多數沒有私人資訊，卻有助於提升市場效率，在資訊的傳遞上扮演重要角色。此外，適當比例的當沖交易者存在於市場中，對流動性有正面影響，但比例過高時則會損及流動性，此現象與當沖交易者傾向採取順勢交易策略有關。
This study examines the impact of day trading on market quality. Taking all the stocks of Taiwan-listed and OTC companies that are open for day trading in 2021 as the research sample, a cross-sectional analysis is conducted using the different day trading ratio among individual stocks. The empirical results show that day trading will increase market volatility, and the reason for the increase in volatility is the response to information. Although most day traders do not have private information, they help improve market efficiency and play an important role in the transmission of information. In addition, an appropriate proportion of day traders exists in the market has a positive impact on liquidity, but if the proportion is too high, liquidity will be damaged, and this is related to the tendency of day traders to adopt positive feedback trading strategy.參考文獻 1. Barber, B. M., & Odean, T. (2001). The internet and the investor. Journal of Economic Perspectives, 15(1), 41-54.2. Barber, B. M., Odean, T., & Zhu, N. (2006, September). Do noise traders move markets?. In EFA 2006 Zurich meetings paper.3. Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2014). The cross-section of speculator skill: Evidence from day trading. Journal of Financial Markets, 18, 1-24.4. Black, F. (1986). Noise. The journal of finance, 41(3), 528-543.5. Bloomfield, R., O’hara, M., & Saar, G. (2009). How noise trading affects markets: An experimental analysis. The Review of Financial Studies, 22(6), 2275-2302.6. Brockman, P., & Chung, D. Y. (1999). Bid‐ask spread components in an order‐driven environment. Journal of Financial Research, 22(2), 227-246.7. Chague, F., De-Losso, R., & Giovannetti, B. (2020). Day trading for a living?. Available at SSRN 3423101.8. Chung, J. M., Choe, H., & Kho, B. C. (2009). The impact of day‐trading on volatility and liquidity. Asia‐Pacific Journal of Financial Studies, 38(2), 237-275.9. De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Positive feedback investment strategies and destabilizing rational speculation. the Journal of Finance, 45(2), 379-395.10. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.11. Harris, J. H., & Schultz, P. H. (1998). The trading profits of SOES bandits. Journal of Financial Economics, 50(1), 39-62.12. Jegadeesh, N., & Titman, S. (1995). Short-horizon return reversals and the bid-ask spread. Journal of Financial Intermediation, 4(2), 116-132.13. Jordan, D. J., & Diltz, J. D. (2003). The profitability of day traders. Financial Analysts Journal, 59(6), 85-94.14. Kang, J., Kim, I. J., Lee, W. G., & Moon, H. (2005). Do Day-traders Destabilize the Market?: The Case of the KOSPI200 Futures Market. In 한국증권학회 KSA (Korean Secutiyies Association) 학술발표회 (pp. 1-34). 한국증권학회.15. Koski, J. L., Rice, E. M., & Tarhouni, A. (2004). Noise trading and volatility: Evidence from day trading and message boards. Available at SSRN 533943.16. Kumar, A., & Lee, C. M. (2006). Retail investor sentiment and return comovements. The Journal of Finance, 61(5), 2451-2486.17. Kyröläinen, P. (2008). Day trading and stock price volatility. Journal of Economics and Finance, 32(1), 75-89.18. Lin, J. C., Sanger, G. C., & Booth, G. G. (1995). Trade size and components of the bid-ask spread. The Review of Financial Studies, 8(4), 1153-1183.19. Linnainmaa, J. T. (2003). The anatomy of day traders. Available at SSRN 472182.20. Ryu, D. (2012). The profitability of day trading: An empirical study using high-quality data. Investment Analysts Journal, 41(75), 43-54.21. Lo, A. W., & MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. The review of financial studies, 1(1), 41-66.22. Song, C. S. (2003). Day Trading and Price Volatility: Observation of the Korea Stock Exchange. Asia-Pacific Journal of Financial Studies, 32(3), 45-84.23. Verma, R. K., & Verma, S. K. (2006). Phytochemical and termiticidal study of Lantana camara var. aculeata leaves. Fitoterapia, 77(6), 466-468.24. Wan, D., & Yang, X. (2017). High‐frequency positive feedback trading and market quality: evidence from China`s stock market. International Review of Finance, 17(4), 493-523.25. Yang, T. Y., Huang, S. Y., Tsai, W. C., & Weng, P. S. (2020). The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market. Journal of Derivatives and Quantitative Studies: 선물연구. 描述 碩士
國立政治大學
財務管理學系
109357022資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109357022 資料類型 thesis dc.contributor.advisor 李志宏 zh_TW dc.contributor.advisor Lee, Jie-Haun en_US dc.contributor.author (Authors) 黃僑尉 zh_TW dc.contributor.author (Authors) Huang, Chiao-Wei en_US dc.creator (作者) 黃僑尉 zh_TW dc.creator (作者) Huang, Chiao-Wei en_US dc.date (日期) 2023 en_US dc.date.accessioned 9-Mar-2023 18:56:47 (UTC+8) - dc.date.available 9-Mar-2023 18:56:47 (UTC+8) - dc.date.issued (上傳時間) 9-Mar-2023 18:56:47 (UTC+8) - dc.identifier (Other Identifiers) G0109357022 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/143912 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 109357022 zh_TW dc.description.abstract (摘要) 本研究探討當沖交易對於市場品質所造成的影響，以2021年間所有開放現股當沖交易之台灣上市櫃公司股票為研究樣本，運用個股之間現股當沖率不同的特性進行橫斷面分析。實證結果發現當沖交易會使得市場波動增加，而波動增加的原因是來自於資訊的反應。當沖交易者雖然多數沒有私人資訊，卻有助於提升市場效率，在資訊的傳遞上扮演重要角色。此外，適當比例的當沖交易者存在於市場中，對流動性有正面影響，但比例過高時則會損及流動性，此現象與當沖交易者傾向採取順勢交易策略有關。 zh_TW dc.description.abstract (摘要) This study examines the impact of day trading on market quality. Taking all the stocks of Taiwan-listed and OTC companies that are open for day trading in 2021 as the research sample, a cross-sectional analysis is conducted using the different day trading ratio among individual stocks. The empirical results show that day trading will increase market volatility, and the reason for the increase in volatility is the response to information. Although most day traders do not have private information, they help improve market efficiency and play an important role in the transmission of information. In addition, an appropriate proportion of day traders exists in the market has a positive impact on liquidity, but if the proportion is too high, liquidity will be damaged, and this is related to the tendency of day traders to adopt positive feedback trading strategy. en_US dc.description.tableofcontents 第一章 緒論 6第一節 研究背景與動機 6第二節 研究目的 8第二章 文獻回顧 9第一節 雜訊交易者 9第二節 當沖交易者的績效 9第三節 當沖交易者對市場的影響 10第三章 資料與研究方法 12第一節 資料與樣本期間 12第二節 研究假說 13第三節 實證模型 14第四章 實證結果分析 18第一節 實證結果分析 18第二節 穩健性檢驗 27第五章 結論及後續研究建議 30第六章 附錄 31參考文獻 32 zh_TW dc.format.extent 1640607 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109357022 en_US dc.subject (關鍵詞) 當沖交易 zh_TW dc.subject (關鍵詞) 波動度 zh_TW dc.subject (關鍵詞) 流動性 zh_TW dc.subject (關鍵詞) 市場效率 zh_TW dc.subject (關鍵詞) 順勢交易 zh_TW dc.subject (關鍵詞) Day trading en_US dc.subject (關鍵詞) Volatility en_US dc.subject (關鍵詞) Liquidity en_US dc.subject (關鍵詞) Market efficiency en_US dc.subject (關鍵詞) Positive feedback trading en_US dc.title (題名) 當沖交易對於市場品質的影響：以台灣股票市場為例 zh_TW dc.title (題名) The Impact of Day Trading on Market Quality: Evidence from Taiwan Stock Market en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Barber, B. M., & Odean, T. (2001). The internet and the investor. Journal of Economic Perspectives, 15(1), 41-54.2. Barber, B. M., Odean, T., & Zhu, N. (2006, September). Do noise traders move markets?. In EFA 2006 Zurich meetings paper.3. Barber, B. M., Lee, Y. T., Liu, Y. J., & Odean, T. (2014). The cross-section of speculator skill: Evidence from day trading. Journal of Financial Markets, 18, 1-24.4. Black, F. (1986). Noise. The journal of finance, 41(3), 528-543.5. Bloomfield, R., O’hara, M., & Saar, G. (2009). How noise trading affects markets: An experimental analysis. The Review of Financial Studies, 22(6), 2275-2302.6. Brockman, P., & Chung, D. Y. (1999). Bid‐ask spread components in an order‐driven environment. Journal of Financial Research, 22(2), 227-246.7. Chague, F., De-Losso, R., & Giovannetti, B. (2020). Day trading for a living?. Available at SSRN 3423101.8. Chung, J. M., Choe, H., & Kho, B. C. (2009). The impact of day‐trading on volatility and liquidity. Asia‐Pacific Journal of Financial Studies, 38(2), 237-275.9. De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990). Positive feedback investment strategies and destabilizing rational speculation. the Journal of Finance, 45(2), 379-395.10. Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2), 383-417.11. Harris, J. H., & Schultz, P. H. (1998). The trading profits of SOES bandits. Journal of Financial Economics, 50(1), 39-62.12. Jegadeesh, N., & Titman, S. (1995). Short-horizon return reversals and the bid-ask spread. Journal of Financial Intermediation, 4(2), 116-132.13. Jordan, D. J., & Diltz, J. D. (2003). The profitability of day traders. Financial Analysts Journal, 59(6), 85-94.14. Kang, J., Kim, I. J., Lee, W. G., & Moon, H. (2005). Do Day-traders Destabilize the Market?: The Case of the KOSPI200 Futures Market. In 한국증권학회 KSA (Korean Secutiyies Association) 학술발표회 (pp. 1-34). 한국증권학회.15. Koski, J. L., Rice, E. M., & Tarhouni, A. (2004). Noise trading and volatility: Evidence from day trading and message boards. Available at SSRN 533943.16. Kumar, A., & Lee, C. M. (2006). Retail investor sentiment and return comovements. The Journal of Finance, 61(5), 2451-2486.17. Kyröläinen, P. (2008). Day trading and stock price volatility. Journal of Economics and Finance, 32(1), 75-89.18. Lin, J. C., Sanger, G. C., & Booth, G. G. (1995). Trade size and components of the bid-ask spread. The Review of Financial Studies, 8(4), 1153-1183.19. Linnainmaa, J. T. (2003). The anatomy of day traders. Available at SSRN 472182.20. Ryu, D. (2012). The profitability of day trading: An empirical study using high-quality data. Investment Analysts Journal, 41(75), 43-54.21. Lo, A. W., & MacKinlay, A. C. (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. The review of financial studies, 1(1), 41-66.22. Song, C. S. (2003). Day Trading and Price Volatility: Observation of the Korea Stock Exchange. Asia-Pacific Journal of Financial Studies, 32(3), 45-84.23. Verma, R. K., & Verma, S. K. (2006). Phytochemical and termiticidal study of Lantana camara var. aculeata leaves. Fitoterapia, 77(6), 466-468.24. Wan, D., & Yang, X. (2017). High‐frequency positive feedback trading and market quality: evidence from China`s stock market. International Review of Finance, 17(4), 493-523.25. Yang, T. Y., Huang, S. Y., Tsai, W. C., & Weng, P. S. (2020). The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market. Journal of Derivatives and Quantitative Studies: 선물연구. zh_TW
