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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/143912


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/143912


    Title: 當沖交易對於市場品質的影響：以台灣股票市場為例
    The Impact of Day Trading on Market Quality: Evidence from Taiwan Stock Market
    Authors: 黃僑尉
    Huang, Chiao-Wei
    Contributors: 李志宏
    Lee, Jie-Haun
    黃僑尉
    Huang, Chiao-Wei
    Keywords: 當沖交易
    波動度
    流動性
    市場效率
    順勢交易
    Day trading
    Volatility
    Liquidity
    Market efficiency
    Positive feedback trading
    Date: 2023
    Issue Date: 2023-03-09 18:56:47 (UTC+8)
    Abstract: 本研究探討當沖交易對於市場品質所造成的影響，以2021年間所有開放現股當沖交易之台灣上市櫃公司股票為研究樣本，運用個股之間現股當沖率不同的特性進行橫斷面分析。實證結果發現當沖交易會使得市場波動增加，而波動增加的原因是來自於資訊的反應。當沖交易者雖然多數沒有私人資訊，卻有助於提升市場效率，在資訊的傳遞上扮演重要角色。此外，適當比例的當沖交易者存在於市場中，對流動性有正面影響，但比例過高時則會損及流動性，此現象與當沖交易者傾向採取順勢交易策略有關。
    This study examines the impact of day trading on market quality. Taking all the stocks of Taiwan-listed and OTC companies that are open for day trading in 2021 as the research sample, a cross-sectional analysis is conducted using the different day trading ratio among individual stocks. The empirical results show that day trading will increase market volatility, and the reason for the increase in volatility is the response to information. Although most day traders do not have private information, they help improve market efficiency and play an important role in the transmission of information. In addition, an appropriate proportion of day traders exists in the market has a positive impact on liquidity, but if the proportion is too high, liquidity will be damaged, and this is related to the tendency of day traders to adopt positive feedback trading strategy.
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    Description: 碩士
    國立政治大學
    財務管理學系
    109357022
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0109357022
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

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