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    Title: 當日沖銷交易獲利影響因素之研究
    Authors: 賴慧君
    Contributors: 周行一
    賴慧君
    Date: 2002
    Issue Date: 2016-05-09 16:13:41 (UTC+8)
    Abstract: 　　在美國傳統市場體制下，造市者(market maker)擁有市場的主宰權，一般投資人(retail investors)交易地位居於顯著弱勢，因而未具參與當沖交易活動的足夠條件；直至制定OHR (Order Handling Rule)法規、修正SOES (Small Order Execution System) 使用規定、ECNs (Electronic Communication Networks)與當沖券商興起後，一群以一般投資人為主的專業當沖者方才陸續出現並快速成長，他們藉由特有交易地位，利用多元市場、多元造市者與多元交易機制特性，設計出與造市者對作的套利當沖交易形態。因此，造市者的報價動作、投資人所擁有的資訊系統效能與本身下單速度等因素，為獲利水準的主要影響因子。
    　　台灣集中市場為一集合競價市場，由投資人委託單決定市場流動性與價格，每位投資人的基本交易地位幾近均等，在此種交易市場模式下，並未存在與造市者對作的套利空間，一般投資人投入當沖交易的情況卻仍然熱絡，則其是否獲利、以及獲利影響因子又為何？
    　　本研究經以86年度台積電與聯電之交易資料進行統計分析，研究發現如下：
    　　1.整體當沖交易之單位毛利為正，惟因買賣價差空間相當小，故於扣除相關交易成本後，單位淨利出現負值，顯示當沖並非一容易獲利之交易策略。
    　　2.市場波動性愈大、流動性愈大，交易報酬愈高。
    　　3.投資人的個股與同產業跨股交易經驗，有助於其提升當沖報酬。
    　　4.交易量大之當沖者，可能採取低單位獲利、高交易量之交易策略。
    　　5.投資人交易部位持有時間愈長，其單位交易毛利愈低，可能反應投資人的日內惜售行為。
    　　6.台積電以作空者之交易報酬均值較高，顯示作多者可能因券源限制而無法自由控制出場時間，導致毛利表現相對不佳；惟聯電的檢定結果出現不一致，故作多或作空策略是否可為當沖獲利指標之一，需再進一步研究。
    Reference: 一、英文文獻
    1.Ackert,L.F. and B.Church, third quarter, 1998, Competitiveness and Price Setting in Dealer Markets, Federal Reserve Bank of Atlanta Economic Review.
    2.Baird,A.J., 2001, Electronic trading Master``s Secrets from the Pros, John Wileys & Sons,Inc.
    3.Baird,B. and C. McBurney, 1999, Electronic day trading to win, John Wileys & Sons,Inc.
    4.Barclay,M.J., W.Christie, J.Harris, E.Kandel and P.Schultz, 1999, The Effect of Market Reform on the Trading Costs and Depths of Nasdaq Stocks, Journal of Finance 54, 1-34.
    5.Battalio,R., B.Hatch, and R.Jennings, 1997, SOES Trading and Market Volatility, Journal of Financial and Quantitative Analysis 32, No.2, 225-238.
    6.Christie,W. J.Harris and P.Schultz, 1994, Why Did Nasdaq Market Makers Stop Avoiding Odd-Eight Quotes?, Journal of Finance 49, 1841-1860.
    7.Christie,W. and P.Schultz, 1994, Why Do Nasdaq Market Makers Avoid Odd-Eight Qouotes? , Journal of Finance 49, 1813-1840.
    8.Christie,W. and P.Schultz, 1999, The Initiation and Withdraw of Odd-Eight Quotes Among Nasdaq Stocks: An Empirical Analysis, Journal of Financial Economics 52, 409-442.
    9.Cohen,S.S., 1999, The Empires Strike Back — Part1:The War Against Day Trading, //www.electronic-traders.org/press143.html.
    10.Faucaulty,T., A.Roell and P.Sandas, 1999, Imperfect Market Monitoring and SOES Trading, Working Paper.
    11.Hariss,J. and P.Schultz, 1997, The Importance of Firm Quotes and Rapid Executions: Evidence from The January 1994 SOES Rules Change. Journal of Financial Economics 45, 135-166.
    12.Hariss,J. and P.Schultz, 1998, The trading profits of SOES bandits. Journal of Financial Economics 50, 39-62.
    13.Huang,R.D., 2000, Price Discovery by ECNs and Nasdaq Market Makers ,Owen Graduate School of Management Vanderbilt University.
    14.Kandel,E. and L.Marx, 1999, Odd-eight Avoidance as a Defense Against SOES Bandits , Journal of Financial Economics 51, 85-102.
    15.NASAA (North American Securities Administrators Association), 1999, Report of the day trading project group findings and recommendations, //www.nasaa.org/daytradingreport.htm.
    16.Permanent subcommittee on investigations of committee on governmental affairs united states senate,2000, Day Trading: everyone gambles but the house, //www.senate.gov/~gov_affairs/022400_report.htm.
    17.Schwert,G.W., 1997, Symposium on market microstructure: Focus on Nasdaq, Journal of Financial Economics 45 , 3-8.
    18.SEC(Securities and Exchang Commission’s), 2000, Special study: Report of examinations od Day-Trading Broker-Dealers, //www.sec.gov/news/studies/daytrep.htm.
    19.SEC,(Securities and Exchang Commission’s) ,2000, Electronic Communication Networks and After-Hours Trading, //www.sec.gov/news/studies/ecnafter.htm.
    二、中文文獻
    1. 陳世城，「台灣股票市場當日沖銷之研究」，國立台灣大學財務金融學研究所未出版碩士論文，民國八十四年六月。
    2. 畢祖明，「證券交易當日沖銷之評估與實證研究」，國立中山大學財務管理研究所未出版碩士論文，民國八十四年六月。
    3. 許秋瑾，「信用交易資券相抵實施對股市之影響」，國立中央大學企業管理研究所未出版碩士論文，民國八十八年六月。
    4. 曾耀輝，「我國證券市場信用交易資券相抵交割制度實施狀況分析」，證交資料，第429期，民國八十七年三月。
    5. 賴維德，「當日沖銷交易策略之獲利性研究」，國立中山大學企業管理研究所未出版碩士論文，民國八十三年七月。
    6. 謝青良，「信用交易資券相抵實施對證券市場流動性、波動性、成交量及尾盤價格之影響」，國立中正大學財務金融研究所未出版碩士論文，民國八十四年六月。
    7. 葛雷格利Ÿ米勒曼，「e當沖大師-股市掏金術」，繆淑君譯，時報出版社，民89。
    Description: 碩士
    國立政治大學
    企業管理學系
    87355049
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000189
    Data Type: thesis
    Appears in Collections:[Department of Business Administation] Theses

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