市場日內動能-以台股ETF 0050為例

Abstract

本研究以2003年至2016年元大台灣50(股票代號0050)ETF的日內交易資料為樣本，發現以昨日收盤價至今日開盤後半小時成交價之報酬能有效解釋收盤前最後半小時的報酬。同時，在高波動度、高交易量、經濟衰退、或是該日發生好消息以及交易日落在一月時，此類日內動能效應將被放大。然而，此日內動能效應於金融海嘯期間較不顯著。對於此一日內動能現象之解讀，本研究之發現與Gao, Han, Li and Zhou (2018)以及Admati and Pfleiderer (1988)的觀點相符合：Gao, Han, Li and Zhou (2018)認為較晚得知投資人效應形成日內動能；Admati and Pfleiderer (1988)則認為具有私有資訊之投資人傾向於往流動性交易者交易最頻繁的期間聚集。此外，上述發現亦可以期貨市場之投資人行為解釋：期貨市場之交易可以使較晚交易之投資人藉由期貨之平倉狀況確認先前發生的消息對於價格所帶來的資訊含量，進而在收盤前利用該消息進行交易，形成日內動能。

Using Taiwan ETF 0050 as an example, this paper examines the intraday momentum effect of Taiwan ETF market. The sample period ranges from 2003 to 2016. This paper finds that the first-half hour return as measured from the previous day’s market close can significantly explain the last half hour return, and such momentum effect is stronger on high trading volume and volatility days, recession period, January and days when good news release. Such intraday momentum may not be applicable to the situation of 2008 Financial Crisis. This paper shares the same view with Gao, Han, Li and Zhou (2018) and Admati and Pfleiderer (1988). When it comes to explaining the intraday momentum effect, Gao, Han, Li and Zhou (2018) attributes intraday momentum to late-informed trader effect；Admati and Pfleiderer (1988) mentions that informed traders tend to trade at the period when liquidity traders trade the most. Besides, such intraday momentum effect may be explained by investor’s behavior in futures market: Late informed traders can confirm the price information implied by specific event that happened early by observing the offsetting positions in the futures market, and then trade in the last half hour, causing intraday momentum to occur.