線上投資人選股擇時策略之分析

Abstract

股市跟定期存款相比是個高報酬的市場，但其風險卻也提高許多。本研究希望能在瞬息萬變的股市中，找出高獲利低風險的投資模式。因此先利用擇時擇股穩定性模型將線上投資者分群，再利用統計分析，觀察成功與不成功的投資者之間，到底存在著何種投資模式差異導致投資人之間報酬率的不同，並對此找到合理的解釋方式。 首先應用貝氏層級統計研究不同投資者在重大事件發生後，是否會有異常的交易行為。再觀察投資者選擇買入或賣出各種股票時，對不同價位或具有特定形象的股類，如水餃股、雞蛋股、牛皮股等特殊股類，觀察投資人在發生重大事件後，是否會對這些特殊股類做出異常的買賣行為。最後觀察不同的投資族群在一周中的投資行為是否符合週末效果之假設，或是有其他不同的投資模式。 本研究分析的資料來源為某證券公司的線上投資人交易資料，以及當時各股的歷史資料。結果發現，在重大事件發生後的交易日，不同投資人間的反應差異都不顯著，只能從其中趨勢描繪：成功的投資者是積極進取，規避政治波動，且較注意影響全國經濟資訊的一群人。在選擇股票種類方面，具擇股能力與穩定性的理財專家型投資人與其他族群投資人相比，多投資於高價股、中高價股、中價股、中低價股以及牛皮股，不喜過於低價的股票。在購買股票時點方面，由於週末效果的發現歷史已久，一般投資人接觸的買賣股決策皆隱含週末效應的考量，故各群投資者皆無顯著差異。只能從趨勢推測理成功投資者的賣股時機大致位於一週中的星期三與最後一天。

Comparing with the fixed deposit, investing in the stock market is a higher revenue but higher risk way to invest. This research wants to find the right investing way to get high revenue but avoid risk. Therefore, this research distinguishes different type of the investors by timing and selection ability first. By using the statistics method, the research wants to find out what kind of different investing modes are there between the successful investors and the unsuccessful investors. And find a reasonable analysis for the phenomenon. First, this research uses the Hierarchical Bayes Statistics to observe are there any different investing method for different type of investors after major event occurred. Second this research observes what kind of stock – different price or figure– do the investors buy or sell after major event occurred. Third the research wants to see whether different types of investors’ investing way follow the weekend effect or not. This research’s data comes from the online investors’ trading information of a securities firm. The research results show that there are no obvious different between all type of investors after major event occurred. Form the aspect of stock selecting, the investors who have selection and stable ability like high-price, median and high-price, median-price, median and low-price, and the stable stock. However, there is no obvious different time to buy or to sell the stock in a week. We can only find out the trend that the successful investors sold their stock on Wednesday and the last day in a week.