臺灣博碩士論文加值系統

本研究分別以投資人屬性及股票特性，探討投資人在漲跌停日交易行為之投資績效，利用國內某大證券商所提供2004年1月2日至2005年10月31日之實際交易資料進行研究分析。實證結果發現，整體而言，因為投資人採取反向交易的程度高，在後續股價回轉的情境下，投資績效的表現較好；但在後續股價連續的情境下，投資績效的表現較差，因此造成投資人並不會在漲跌停時獲利。以投資人屬性分析，雖然機構投資人及財富水準最高的投資人，同向交易的程度較高，但對於股市漲跌的消息及資料分析得比其他投資人齊全，因此造成投資績效較好；以股票特性分析，所有的股票除了在後續股價回轉的投資績效較好之外，在整體及跌停的情境下，高價格、低流動率的股票，以及在跌停的情境下，低淨值市價比的股票，投資人的投資績效較好。

We analyze trading behavior among various types of investors and stock characteristics in the Taiwan bond futures market on price limits days , using data from January 2, 2004 to October 31, 2005. We find that investors make no profit of stocks on price limits days because investors take contrarian investment strategy so that they can make a profit on price reversal days and make no profit on price continuous days. For various types of investors, institutional and the wealthiest investors take momentum investment strategy and they gain a profit. We think that it is because they get more information about stocks on price limits days than other investors. For various stock characteristics, we find that (1)investors gain no profit except on price reversal days. (2)investors gain a profit of high price and low liquid stocks on all and down price limits days. (3)investors gain a profit of low book to market ratio stocks on down price limits days.

謝辭 i
摘要 i
目錄 i
圖目錄 ii
表目錄 iii
第一章 緒論 4
1.1研究背景與動機 4
1.2研究目的 6
第二章 文獻探討 7
2.1漲跌幅限制對市場的影響 7
2.1.1漲跌幅限制對股價的影響 8
2.1.2漲跌幅限制對投資人行為的影響 12
2.2從眾行為與回饋交易 14
2.2.1投資人從眾行為與回饋交易之實證研究 16
2.2.2投資人在市場大幅震盪下的行為反應 20
第三章 研究方法與設計 23
3.1研究期間與樣本選取 23
3.2變數衡量與定義 25
3.3研究設計 32
第四章 實證結果與分析 38
4.1敘述性統計分析 38
4.2實證結果 42
4.2.1投資人屬性 42
4.2.2股票特性 61
第五章 結論與建議 78
5.1研究結論 78
5.2研究限制 79
5.3研究建議 80
參考文獻 81

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