| 摘要: | 本研究主要運用市場中漲停或跌停訊息，來做為次一交易日交易參考，看能否在盤中進行獲利，作為其當日沖銷的參考指標。檢視2021年1月1日至2021年12月31日的日資料，樣本是透過臺灣經濟新報資料庫(TEJ)取得數據，以臺灣證劵交易市場的上市公司股票作為研究對象。
研究顯示，在控制其他變數之後，根據第1天的報酬率越高，甚至到漲停的狀況下，次一交易日的開盤到收盤的報酬率則會越低，容易呈現開高收低，跌的幅度更大；若第1天的報酬率越低，呈現跌停的狀況，則次一交易日的開盤到收盤的報酬率則呈現反轉的現象非常顯著，比較容易為正報酬，而報酬也隨停板天數越多而有較高的現象。
在遇到漲停板時次一交易日放空，遇到跌停板時，次一交易日做多的平均報酬，考量本研究高估的成本狀況下，皆顯示為正報酬，僅漲跌的第1天及第5天次日做空平均報酬分別為0.82%與0.94%，連續跌停2天次一交易日採取做多的平均報酬0.79%較為報酬幅度沒這麼高外，其餘皆大於1%。 而漲停板隔天容易下跌，跌停板隔天容易上漲，所以當天的報酬與次日開盤到收盤的報酬呈現是反向的情形，實證的結果顯示，臺灣的股票市場有過度反應的現象。;This study mainly uses the up-limit or down-stop information in the market as a trading reference for the next trading day to see if it can make a profit in the intraday also as the day trading reference index. Looking at the data from Jan. 1.2021 to Dec. 31. 2021, the sample was obtained through the Taiwan Economic News Database (TEJ), focusing on the stocks of listed companies in the Taiwan stock exchange market.
Studies have confirmed that by controlled other variables, according to the higher rate of return on the first day, even to the up-limit, the rate of return from open to close at the next trading day will be lower, easy to show pull back that the falling range is larger; If the lower return on the first day, even to the down-stop, then the phenomenon is significantly reversal on the next trading day’s rate of return , which are easily with positive remuneration, and the remuneration will be higher with more days down-stop.
In addition, if encountered up-limit that the next trading day sell short or if encountered down-stop that next trading day buy long, Considering the overestimated cost deduction in this study, they are all shown as positive remuneration, the average return of rate is 0.82% and 0.94% by sell short at the next day of the first day and the next day of fifth day. Buy long after continuous down-stop 2 days, the return of rate is not much higher, only 0.79%, but the rest of situation return of rate are greater than 1%.
It is easy to fall at up-limit’s next day and easy to rise at down-stop’s next day, so the remuneration on the day and the remuneration on the next trading day present opposite situation. The empirical results show that the Taiwan stock market has an overreaction phenomenon. |
