損益情況對於當沖交易者持倉變動之影響 – 以臺灣期貨市場為例

Abstract

當沖交易向來視為活絡臺灣期貨市場的動能，本研究主要觀察臺股指數期貨當沖交易者損益狀況對於持倉變動之影響，過往研究多以日頻率為主，本研究則專注於觀察當沖交易者，並透過勾選當沖選項與否區分嚴格和一般當沖交易者，先前研究多採用實現利得合約和實現虧損合約比例之差作為處分效果量化變數，本研究則直接計算當沖交易者之損益狀況，並將其拆分持倉損益和當沖損益，藉以觀察臺指期當沖交易者是否存在處份效果、過度自信等現象。研究結果發現一般和嚴格當沖交易者皆存在處份效果，嚴格當沖交易者存在過度自信現象，一般當沖交易者則無。當沖損益為獲利時，嚴格當沖交易者建倉機率增加2.03%，因過去獲利經驗帶來自信從而增加交易，一般當沖交易者則減少0.95%建倉機率，傾向保有獲利，避免再建倉進入市場導致獲利回吐。Day trading has accounted for the majority of trading volume in Taiwan futures market. This study primarily examined the influence of TXF day traders profit level to their positions. This study mainly focuses on intraday information rather than daily frequency like previous studies. We distinguished strict and normal day trader through whether pre-pronounce day trade action while placing order. Previous studies mostly used the ratio differences between contracts of realized gain and contracts of realized loss as the measurement of disposition effect. In this study, we directly calculated the profit and loss of day traders and categorized them into groups of inventory trade revenue and round-trip trade revenue, so as to examine disposition effect and overconfidence. The results showed that both normal and strict day traders did exhibit disposition effect, while strict day traders even showed overconfidence, in which the normal traders did not. When round-trip trade revenue resulted in a profit, the probability of building position by strict day traders increased by 2.03%, as their profit experiences bring more confidence to trade. As for the normal day traders, they reduced the probability of building position by 0.95%, with inclination to retain their current profit and avoid future loss by investing less in the market.