台股交易資訊與市場表現之互動性研究

Abstract

台灣股市易受國內外政經情勢影響，相較於歐美經濟大國，表現較不穩定，波動較劇烈。過去幾年台股走勢存在明顯升降趨勢，非隨機漫步，許多研究也指出，交易資訊和指數報酬率存在相關性。是以本文針對2006$sim$2008年的台股進行研究，選取指數報酬率、大盤委託單、大盤委託量、大盤成交單、大盤成交量、融資買進量和融券賣出量進行向量自我迴歸。實證結果指出，在盤整市場下，投資人具有「低買高賣」心態，當指數報酬率顯著變動時，委託變數、成交變數和融資融券變數後續反應較遲，平均委託量和平均成交量顯著影響日後的指數報酬率，可做為報酬率的參考指標。在多空市場下，投資人具有「追高殺低」心態，實際交易上存在「追高」行為，當指數報酬率顯著變動時，委託變數、成交變數和融資融券變數後續反應較迅速，融資買進量和指數報酬率存在回饋關係。本文指出，在不同市場情勢下，市場表現和市場預期不盡相同，指數報酬率和交易變數間的關係也有所差異。傳統技術分析強調以技術指標作為進出場依據，本文考量時間趨勢，採取計量方法，提供不同面向的解讀。

Comparing to Euro and American stock market, Taiwan stock market is vulnerable to political and economy situation. In the past years, Taiwan stock index had obviously rising or declining trend rather than random walk. Some research indicates that transactions information correlates with stock return rate. This research concerned the performance of Taiwan stock market from 2006 to 2008, and conducted VAR analysis with the return rate of stock index, the number of buying and selling orders, the volume buying and selling volume, the number of trading orders, the volume of trading orders, as well as the volume of margin purchase and short sales orders. The empirical results could be concluded into two categories. In correction market, investors were tend to 'buying low and selling high.' When return rate of index had significant variation, corresponding responses of transactions variables were relatively late. In addition, averaged volume of buying and selling orders and averaged volume of trading orders, as estimating variables, could significantly influenced following index return rate. On the other hand, investors were tend to 'buying high and selling low' in volatile market. When index return rate had significant variation, corresponding responses of transactions variables were relatively fast. In addition, the volume of margin purchase orders had feedback relationship with index return rate. Being different from technical index often used in stock trading, the study provides another perspective for technical analysis by employing econometrics.