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Title: 日內交易對台灣期貨市場之影響
The Effect of Day Trading on the Taiwan Futures Market
Authors: 國立臺灣師範大學管理研究所
Issue Date: 2013
Abstract: 本研究探討日內交易(當沖交易)對台灣期貨市場的影響,尤其針對市場的報酬波動、價格發現、以及交易雜訊進行分析。日內交易者因其極短的投資持有期間,顯然是以投機為目的的交易者。如果他們在資訊優勢及交易能力上與其他交易人有顯著的不同,或是他們的交易有群聚的現象,日內交易者很可能對市場有重大的影響。本研究進一步將日內交易者根據投資人種類及交易頻率分類,分析不同群體的日內交易者對市場不同的影響。本研究自台灣期貨交易所取得獨特且完整的交易資料,資料涵蓋161,165個帳戶的交易活動,共有9,150,979活躍帳戶-日的觀察點,平均每日有21,085帳戶進行交易活動。在所有的觀察點中,有5,847,988帳戶-日為日內交易活動,平均每日有13,475帳戶進行日內交易活動。因為日內交易相關的實證研究十分有限,本研究提供新的實證分析與證據,幫助財務學界了解日內交易行為的本質及其對金融市場的影響。本研究對衍生性商品市場、行為財務理論、市場微結構及市場效率性等相關財務領域的研究提供重要貢獻。
This paper examines the impact of day trading on Taiwan’s futures market with respect to return volatility, price discovery and trading noise. Day traders, given their short investment horizon, are almost certainly speculators. If they are more (less) informed or skilled, or if they exhibit herding behavior, they may exert significant influences on the market. We also investigate the impact for various day trader groups categorized by investors’ identity and trading frequency. The data set provided by the TAIFEX covers the trading activities of 161,165 accounts, yielding 9,150,979 active account-days, an average of 21,085 accounts per day. Among the observations, 5,847,988 account-days involve day trading activities, an average of 13,475 accounts per day. Given that empirical evidence on day trading is limited, this paper sheds new light on understanding the nature of day trading behavior and the impact of day trading on financial markets. Our research provides important contributions to various strands of finance literature including derivatives markets, behavioral finance, market microstructure, and market efficiency.
Other Identifiers: ntnulib_tp_I0107_04_003
Appears in Collections:教師著作

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