台灣期貨市場投資報酬率優異者之投資行為分析

Abstract

本研究以台灣期貨市場實際交易與委託資料為標的，研究自2007年1月1日至2007年12月31日共計247個交易日之樣本期間，以先進先出法計算每個投資人之投資報酬率，擷取至少有60筆沖抵紀錄以上之帳戶區分為投資報酬率優異前10%與投資報酬率不佳後10%兩群資料，比較刪單、減量、總委託量、平均交易口數、投資人下單積極性與高頻率交易等投資行為在投資報酬優異與報酬不佳的兩者間是否有顯著差異。研究結果顯示，報酬率不佳者的減量委託行為十分顯著的高於報酬率優異者，而投資報酬率優異者的總委託量高於投資報酬率不佳者，投資報酬率優異者的下單積極性顯著高於報酬率不佳者，而投資報酬率優異者的高頻交易行為高於投資報酬率不佳者。另對於日內交易時段區分開盤、盤中與收盤，研究結果顯示了結獲利具U型現象，投資績效優異者集中於開盤時段獲利了結，而投資績效不佳者傾向於尾盤時段進行平倉交易。

This study is concerned with the actual deal and order data in Taiwan futures market, reference sample period totaled 247 trading days since January 1, 2007 to December 31, 2007. Using the FIFO method to calculate each investor's ROI, capture at least more than 60 times offset record, according to return of investment divided data into the 10% of poor ROI and 10% of outstanding ROI, for investment behavior include cancel-order, reduce-order, the total order volume, the average order volume,order-activeness and high-frequency trading and so on, is there a significant difference between the outstanding ROI and the poor ROI. The results showed that the behavior of reduce-order on those poor ROI is a significant higher than those outstanding ROI, the behavior of order-activeness on those outstanding ROI is a significant higher than those poor ROI, however, the high-frequency trading on those outstanding ROI is a significant higher than those poor ROI. In addition, the trading hours into the opening, intraday and closing, the results showed that the closed position (Cover) has a U-shaped phenomenon, the outstanding ROI investor prefer to profit-taking at opening session, the poor ROI investor tend to close position at closing session.