TheIntra-dayMagneticTrading.doc-臺灣科技大學機構典藏NTUSTR.docVIP

投資人在漲跌停日之交易行為國立中正大學會計與資訊科技研究所碩士生 摘　要 本研究針對台灣證券交易市場之上市個股，依據某知名證券商所提供之2004年11月1日至2005年10月31日委託單明細資料進行分析，以檢視投資人在漲跌停日非理性之交易行為，及其與後續股價反轉程度之關聯。本研究定義「吸鐵流量」作為衡量投資人發生非理性交易行為之指標；實證結果在整體樣本及漲停樣本上與預期相符，顯示後續股價之反轉程度與吸鐵流量的大小呈現正向關聯，惟本研究委託流量係以投資人現股交易衡量，故跌停樣本之吸鐵流量可能無法完全反映出投資人的非理性交易行為，以致並未獲得非理性交易行為與後續股價反轉程度兩者間具關聯性之顯著證據。本研究結果顯示股價接近漲跌停板之資訊確實可能吸引投資人的注意，若進而引發非理性之交易行為（本研究發現整體樣本中約有12%並不含任何一類吸鐵流量，顯示並非所有漲跌停日均存在投資人之非理性交易行為），將導致後續股價反轉而使投資人蒙受損失。 本研究亦分析「吸鐵流量」之投資人屬性及股票特性，實證結果顯示：多數吸鐵流量來自財富水準中等、交易頻率高、投資經驗中等、中年、男性之投資人，且吸鐵流量大小會隨著「公司規模」、「股票價格」、「流動性」、「β值」與「產業別」等股票特性之不同，而有顯著差異。 關鍵字：漲跌幅限制、吸鐵流量、交易行為 The Intra-day Magnetic Trading Behaviors on Price Limit Days and Subsequent Stock Returns Lin, Y.C. GeorgeAssociate Professor, Department of Accounting and Information Technology, National Chung Cheng University Huang, Yi-ChingGraduate Student, Department of Accounting and Information Technology, National Chung Cheng University Abstract Based on investors order data from 2004/11/1 to 2005/10/31 provided by a brokerage firm in Taiwan, this study analyzes the relationship between the irrational order flows on price-limit-hit days and the magnitude of posterior price reversal. This study measures the irrational order flow according to the magnetic order flow before an imminent limit hit. The empirical results show that, on upper-limit-hit days, larger irrational order flows will result in larger posterior price reversal. However, due to the short-sell constraints which blur the measurement of irrational order flows on the lower-limit-hit days, we do not find significant impact of irrational order flows on the posterior price reversal. In the sample used in this study, there are 12% of price-limit-hit days which do not have any irrational order flows. This study also analyzes whether the irrational order flows are related to investors’ and firm characteristics. Our results show that irrational order flows mostly come from male investors in the middle wealth, experience, and age level and with high trading