臺灣博碩士論文加值系統

本研究主要探討股票投資人之重購行為。分析國內一知名券商所提供之53,680帳戶交易明細資料發現，投資人傾向重購過去利得而非損失的股票，其結果與簡單經驗法則的預期一致。因台灣股市交易頻繁，本研究進一步將評估期間由原先以年為基礎的分析模式，縮短為以月為基礎。結果發現，個人投資者重購的傾向更為顯著，顯示在交易頻繁的市場中，重購行為的觀察應根基於較為細緻之資料。本研究進一步根據投資者屬性分析發現，年輕、男性、傳統交易、非信用交易的投資者，其重購的傾向高於年長、女性、網路交易、以及信用交易的投資者。依年紀將樣本均分成四群的結果發現，隨年紀增長重購股票的傾向單調遞減，亦即年輕族群的重購傾向最為顯著，其重購利得股的比率為重購損失股的比率的1.4倍。本研究繼續探討年輕族群重購利得股的傾向是否與其過去的交易績效有關，因而鎖定少數幾檔股票重複操作？統計不同年齡族群重購股重購前一個月的績效顯示，年輕族群重購股於重購前的報酬較差，且報酬風險較大，因此，理性預期的模式不能解釋年輕族群的重購傾向。本研究亦發現空頭市場時投資人因可選擇的投資組合縮小而提高其重購傾向。此外，投資人較傾向重購過去利得股的傾向並無法使其獲取較高之報酬。

In this research we investigate individual repurchasing behavior. The results from analyzing a dataset provided by a renowned brokerage house covering 53,680 active accounts show that individual investors prefer repurchasing prior winners than losers, which corroborates with the prediction that individuals follows a simple heuristic learning. Our estimation of individual repurchases is shorten to monthly basis instead of yearly basis due to the fact that Taiwan stock market is being characterized as high turnover and congested with individual investors. The results from monthly estimation show an even higher proportion of repurchasing stocks for individual investors, verifying the merit of using finer information in investigations. An upclose of individual characteristics on the repurchasing behavior indicate that young, male, traditional, and non-margin traders exhibit a higher inclination of repurchasing stocks than old, female, online, and margin traders, respectively. An interesting finding from investor age illustrate that the repurchasing inclination monotonically decrease with an increase of investor’s age. For example, in the youngest quartile, the proportion of repurchasing winners is 1.4 times of the proportion of repurchasing losers. Could it be possible that these young investors were rewarded higher average returns or assume lower risk for the stocks being repurchased? The empirical results refute this conjecture. Therefore, young investors’ inclination of repurchasing stocks is hard to be reconciled with the rational explanation. Moreover, we do find that investor’s repurchasing inclination is higher in the bear than in the bull market, which might be related to the available set of investment targets shrinks more when market condition is sour. Finally, investors’ returns are not increased from repurchasing prior winning stocks.

目 錄
第壹章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 6
第三節 研究限制 7
第四節 論文架構 8
第貳章 文獻探討 9
第一節 自然學習(NAÏVE LEARNING) 9
第二節 個別投資人屬性對交易行為的影響 11
第三節 多頭市場及空頭市場之劃分 12
第參章 研究設計 14
第一節 資料來源與處理 14
第二節 變數定義 15
第三節 資料分析方法 18
第四節 研究假說 20
第肆章 實證結果與分析 24
第一節 個別投資人資料敘述統計 24
第二節 近期效果與重購行為分析結果 26
第三節 市場型態對重購行為的影響之分析結果 46
第四節 績效分析 50
第伍章 結論與建議 53
第一節 結論 53
第二節 研究貢獻 55
第三節 對後續研究者之建議 57
參考文獻 58


表 目 錄
表1-1-1 台灣股市投資人類別交易比重 4
表1-1-2 美國實證與台灣實證個人投資者重購比率之比較 5
表3-4-1 研究期間市場型態劃分表 23
表4-1-1 個別投資人資料敘述統計值 25
表4-2-1 整體樣本重購贏家股與輸家股分析結果 26
表4-2-2 近期效果與遠期效果下重購行為分析結果比較 27
表4-2-3 年齡高低與重購贏家股與輸家股之比率 29
表4-2-4 各年齡群組重購股票之加權平均月報酬及變異數 30
表4-2-5 各年齡群組交易次數、檔數、每檔股票交易次數 32
表4-2-6 性別與重購贏家股與輸家股之比率 34
表4-2-7 電子戶與否與重購贏家股與輸家股之比率 36
表4-2-8 信用戶與否與重購贏家股與輸家股之比率 37
表4-2-9 交易頻率高低與重購贏家股與輸家股之比率 38
表4-2-10 開戶時間長短與重購贏家股與輸家股之比率 41
表4-2-11 Logit與Tobit迴歸模型 43
表4-3-1 市場型態對重購行為的影響之分析結果 48
表4-3-2 市場型態與可選擇投資集合之比較 49


圖 目 錄
圖3-4-1 台灣加權股價指數月底指數走勢圖 23

中文部分
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2.林秋雲(2002)。股票投資人錯置效果之研究。輔仁大學應用統計研究所未出版碩士論文，台北縣。
3.莊政儒(2000)。臺灣股價指數報酬分配常性與投資組合之探討。中國文化大學國際企業管理研究所未出版碩士論文，台北市。
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