券商隔日沖銷交易績效分析

Abstract

從過去到現在，證券市場的價量分析一直是學者研究的重點，而券商於證券市場的動向一直是投資人想關注的重點之一，券商的特定交易行為更是投資人想要了解的重點，隨著證交所公布買賣日報表後，這些內容將可以逐漸地被研究。 本研究以2011年至2014年台灣證券市場買賣日報表及個股賣超比率、個股週轉率、個股財報資訊揭露評分、個股市價淨值比及公司規模進行實證分析。先以交易行為定義隔日沖銷交易行為券商，並且依交易次數區分成高交易頻率及低交易頻率券商；依累計年報酬率區分成贏家券商及非贏家券商，分析不同分類的券商之報酬率與上述因子的連動關係；最後並以贏家券商所交易的產業類別次數多寡探討產業是否對報酬率有顯著的連動關係。 整體而言，券商進行隔日沖銷交易是無法打敗市場，這也顯示台灣證券市場是有效率的。而實證結果顯示，不論在何種分類裡個股賣超比率，個股週轉率及個股市價淨值比皆與報酬率呈現顯著正向連動關係；而公司規模則與報酬率呈現顯著負向連動關係。唯一無法得出結論的因子為個股財報資訊揭露評分，該因子於不同分類裡呈現不規則的連動關係，甚至出現不顯著相關，因此無法明確指出該因子與報酬率之連動關係。而於贏家券商的部分，結果顯示產業類別為「電子-光電」，「電子-其他電子」及「化學工業」與報酬率呈現顯著負向連動關係，表示交易次數最多的產業並不會為報酬率帶來顯著的正報酬，甚至會降低報酬率。

In stock markets, the influence of price and volume changing is very important for investors. One of the most important parts that investors concern is transaction behaviors of dealers. Now, they can be analyzed because of the publishing of Daily Transaction Reports. This research focused on Daily Transaction Reports during 2011 to 2014. It analyzed the relationship between returns of cross- day transaction by dealers and selling ratios, turnover ratios, score of information revealing in financial reports, P/B ratios and size of companies, respectively. It defined the dealers with cross-day transaction behavior and separated into two groups by trading frequency and annual return, respectively. Finally, it analyzed the industrial effect on return In general, the sotck market is efficient because the average return of Cross-Day Trading is negative. It means that dealers couldn’t get excess return on the stock market by doing the strategy. According the regression results, only the score of information revealing in financial reports has no significant relationship with returns. Selling ratios, turnover ratios and P/B ratios have significantly positive relationships to returns; size of companies has significantly negative relationship to returns. Finally, there is no industrial effect on return.