台灣股票市場當沖與做多交易策略之實證研究

Abstract

在股票市場中，投資人常存在「多空看法分歧」的現象，投資人非理性的行為對股市造成的影響應更顯而易見，而投資人買賣決策行為之認知差異，及其本身交易形成之市場情緒亦常會左右股票市場之報酬率。由於股票報酬率除因基本面的影響之外，在短期上，往往易受到投資人市場情緒之影響，故本研究之交易資料以三大法人(含投信、自營商、外資)連續累計買賣超張數及融券餘額等市場情緒之指標，與威廉指數為自變數，以臺灣證券市場之台灣經濟新報基礎資料庫暨加值資料庫 (TEJ)為標的，資料區間自西元2020年1月7日起至西元2021年11月19日，約含近457個交易日，研究探查相關資料回頭檢視、驗證以上交易日區間中明顯為多方趨勢而開收盤產生價差相對較大之適合做多的個股，導入理論，實證資料如下：一、當日沖銷先運用本理論判斷做多方向的產業及其個股。二、此外，並應避免進行漲跌幅不大的高頻交易後，接下來只要考慮慎選時點再進場交易，進場交易在「好日子」賺取大的價差，價差小「壞日子」則應停止交易。技術分析因當沖交易其持有部位時間短，無法單獨提供較佳投資策略方案，基本分析理論亦因此無法發揮效用。本文選用三大法人連續買賣超、融券餘額當作情緒性指標及威廉指數，實證結果得知三大法人連續買賣超大多為正向影響，可知三大法人連續買賣超張數越大，影響臺灣股票市場之樣本公司的日報酬率越大。而透過模型，實證情緒性指標對5G概念股中適合做多個股之報酬與風險的研究，發現依其結果可知：首先，三大法人連續買賣超在長期下與個股報酬皆呈現顯著正向影響，表示三大法人連續買賣超情緒性指標變動使個股報酬呈正向變動。其次，威廉指標在長期變動下與個股報酬也呈現顯著正向影響，顯示順勢方向正確會使當日沖銷交易報酬增加。最後，融券餘額在長期下融券餘額和股價存在因果關係，但對未來股價報酬方向不確定。另外，在實證各股票風險之結果發現：融券餘額與個股風險之間的關係為不明顯，在長期影響下方向最不固定，將來亦可考慮依此做更進一步的研究。In the stock market, investors often have the phenomenon of"difference between long and short views". The impact of investors' irrational behavior on the stock market should be more obvious, and the cognitive differences between investors' buying and selling decision-making behavior and the market formed by their own transactions should be more obvious. Emotions also often influence stock market returns. In addition to the impact of fundamentals, stock returns are often easily affected by investors' market sentiment in the short term. Therefore, the transaction data of this study are based on the three major legal persons (including investment trust, dealers, and foreign capital) continuously accumulatively traded. Indicators of market sentiment such as the number of excess contracts and the balance of securities lending, and the Williams index are independent variables, and are based on the basic database of Taiwan Economic News and the Value-Added Database (TEJ) of the Taiwan Securities Market. The data range is from January 2020. From the 7th to November 19th, 2021, including nearly 457 trading days, research and explore relevant data to review and verify that the above trading day range is obviously a multi-party trend, and the opening and closing prices are relatively large. It is suitable for long positions. Individual stocks, import theory, and empirical data are as follows:1. On the day of offsetting, first use this theory to judge the industry and its individual stocks that are in a long direction.2. In addition, you should avoid high-frequency trading with small fluctuations. Next, you only need to consider carefully choosing the time to enter the market. Entering the market will earn a large price difference in"good days", while the price difference is small in "bad days". ” should stop trading. Due to the short time of holding positions in hedge trading, technical analysis cannot provide a better investment strategy plan alone, and the basic analysis theory cannot be effective. This paper selects the three major corporations' continuous trading excess and the balance of securities lending as emotional indicators and William's index. The empirical results show that the three major corporations have apositive impact on the continuous trading. The higher the daily rate of return of the sample companies in the Taiwan stock market. And through the model, the empirical sentiment index researches the return and risk of multiple stocks suitable for 5G concept stocks, and finds that according to the results: First, the continuous trading of the three major legal persons has a significant positive impact on the return of individual stocks in the long run. , indicating that the continuous trading of the three major legal persons in the hyper-emotional index changes the returns of individual stocks to a positive change. Secondly, the Williams indicator also has a significant positive impact on the return of individual stocks under long-term changes, showing that the correct direction of the trend will increase the return of the day's offset trading. Finally, there is a causal relationship between the balance of securities lending and the stock price in the long run, but the direction of future stock price returns is uncertain. In addition, in the empirical results of each stock risk, it is found that the relationship between the balance of securities lending and individual stock risk is not obvious, and the direction is the most unstable under the long-term influence, and further research may be considered in the future.