ETF盤中零股成交量與報酬率之相關性

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/92642

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/92642

Title:	ETF盤中零股成交量與報酬率之相關性
Authors:	林保翔;Lin, Pao-Hsiang
Contributors:	財務金融學系在職專班
Keywords:	ETF;投資人情緒;盤中零股交易;報酬;成交量;ETF;Investor sentiment;odd-lot trading;Volume;Return
Date:	2023-07-05
Issue Date:	2024-09-19 16:03:50 (UTC+8)
Publisher:	國立中央大學
Abstract:	本文以臺灣市值前4大之上市ETF為研究樣本，包含元大台灣卓越50證券投資信託基金(證券代號：0050)、元大台灣高股息證券投資信託基金(證券代號：0056)、國泰台灣ESG永續高股息ETF基金(證券代號：00878)及富邦台灣釆吉50基金(證券代號：006208)，探討臺股開放盤中零股交易(2020年10月26日)，盤中零股成交股數對於未來報酬率之相關性及可預測性，以迴歸模型分析。實證結果發現，在盤中零股的成交股數較低的交易日買進，未來可獲得的報酬顯著較高，相反的，在交易股數較高的交易日買進，則後續會獲得較差的報酬，意即在投資人情緒較低的時候買進，未來股價反轉向上的可能性較高，而在投資人情緒高昂的時候買進，容易因為投資人反應過度，導致過度推升股價，造成未來股價反轉向下的可能性較高。;This article uses the top 4 listed ETFs in Taiwan in terms of market capitalization, including Yuanta/P-shares Taiwan Top 50 ETF (stock code: 0050), Yuanta Taiwan Dividend Plus ETF (stock code: 0056), Cathay MSCI Taiwan ESG Sustainability High Dividend Yield ETF (stock code: 00878) and Fubon FTSE TWSE Taiwan 50 ETF (stock code: 006208) as the sample: The results of the empirical analysis were that buying on the trading day when the number of Odd Lot traded in the ETF is lower will result in a significantly higher return. On the contrary, buying on a trading day with a high number of shares traded will result in a poorer payoff, meaning that buying at a time when investor sentiment is low will result in a higher probability of upward stock price reversal, while buying at a time when investor sentiment is high will result in a higher probability of downward stock price reversal due to an overreaction by investors, which will lead to an excessive push in stock price.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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