臺灣博碩士論文加值系統

本研究利用國內某大證券商所提供93年1月2日至93年12月31日之交易資料進行實證研究分析，探討當沖交易之投資人行為面及投資人屬性面與獲利之關聯性，分別就操作策略、星期效應、性別、交易年資、財富水準與交易頻率等因素分析其與獲利之關聯。

實證結果顯示，投資人行為面，當沖交易投資人操作策略以作多沖銷居多，且獲利方面作多沖銷亦較作空沖銷為高，星期效應方面則以星期二獲利較佳。另有關投資人屬性分析，女性之獲利較男性高，交易次數及財富水準與獲利呈現反向關係，亦即交易次數及財富水準越高其整體之獲利越低，而有關交易年資方面，年資與獲利之間呈現正向關係，年資越高則獲利越高。

This research is the analysis to the real business transaction records from Jan. 1st 2004 to Dec. 31th 2004, which is provided by a domestic securities dealer, the purpose of the analysis is to probe the relationship among the behavior, property and profitability when investors day trading, and analyze the relationship between the profitability and other factors, such as operation strategy, week effect, sex, transaction seniority, wealth level and transaction frequency.
The result of this research discovers that, in terms of investor’s behavior, the strategy of investors to day trading is mostly first financing to buy the same day to sell securities lending; and in terms of profitability, first financing to buy the same day to sell securities lending is more often seen than first securities lending sold the same day financing to buy ; As for the factor of week effect, it shows better performance if deal on every Tuesday. On the other hand, regarding the investor’s property, it shows that female investors have higher profitability than male investors. The transaction frequency has opposite correlation with wealth levels, which means the higher of the transaction frequency and wealth levels, the lower is the overall profitability performance. And regarding the transaction seniority, there is a positive correlation between seniority and profitability, which means the seniority is higher, the profitability is better.

目 錄 i
表 目 錄 ii
圖 目 錄 iii
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 4
1.3 研究內容與架構 4
第二章 文獻探討 6
2.1 當日沖銷交易制度介紹 6
2.2 當沖交易之獲利分析相關文獻 12
2.3 投資行為學 14
第三章 研究方法 21
3.1 資料來源 21
3.2 研究期間與樣本選取標準 21
3.3 當日沖銷交易之獲利因素 23
3.4 當日沖銷獲利之衡量 28
第四章 實證結果與分析 31
4.1 敘述性統計說明與分析 31
4.2 實證結果與分析 32
4.3 當日沖銷交易之獲利因素檢定彙總 40
第五章 結論與建議 41
5.1 研究結論 41
5.2 研究限制 42
5.3 建議 43
參考文獻 44
一、中文部份 44
二、英文部份 46
三、網站部份 48

一、中文部份
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