探討當沖報酬之星期效應與搜尋量指標SVI的關係

Abstract

本研究以 2014 至 2022 年間臺灣所有上市公司作為樣本，研究其個股每日投資人當沖報酬率與投資人關注度之間的關係，其中個股日內當沖報酬數據來自臺灣證交所與臺灣股票資訊網之每日盤後統計資料，而投資人關注度衡量依據為 Da, Engelberg, and Gao (2011) 所提出的 Google 搜尋量指標 (Search Volume Index; SVI)。實證結果發現: (1) 投資人當沖報酬率存在星期效應，星期一表現最佳，且隨著靠近週末而遞減; (2) 投資人對股票關注度隨著靠近週末而遞減; (3) 投資人的關注度顯著影響隔日的當沖報酬表現; (4) 當沖報酬之星期效應受個股 SVI 的星期效應影響; (5) 當沖熱門標的之當沖報酬受 SVI 影響較大，而當沖冷門標的之當沖報酬則受 ASVI (異常關注度) 影響較大。本研究發現投資人對股票的關注度會影響短期投機的行為表現，假日累積的關注度反映在週一當沖報酬表現佳，而越接近週末投資人關注度明顯下降，當沖報酬隨之遞減，形成星期效應。

This study examines the relationship between daily day-trading returns of individual stocks and investor attention for all listed companies in Taiwan stock market from 2014 to 2022. The intraday day-trading return data for individual stocks are collected from the Taiwan Stock Exchange and Taiwan Stock Information (Goodinfo) daily after-market statistical data, while investor attention is measured based on the Search Volume Index (SVI) proposed by Da, Engelberg, and Gao (2011) using Google search volume indicators. The empirical results reveal the following: (1) Day-trading returns exhibit a day-of-the-week effect, with Mondays showing the highest performance and decreasing as the weekend approaches. (2) Investor attention towards stocks tend to decrease as the weekend approaches. (3) Investor attention significantly influences the day-trading performance of the next day. (4) The day-of-the-week effect in day-trading returns is affected by the day-of-the-week effect in individual stock SVI. (5) The day-trading returns of popular targets are more influenced by SVI, while the day-trading returns of less popular targets are more influenced by Abnormal Search Volume Index (ASVI). We finds that investor attention towards stocks affects their short-term speculative behavior. The accumulation of attention during holidays is reflected in better day-trading return performance on Mondays, while investor attention noticeably declines as the weekend approaches leading to a decrease in day-trading returns, which becomes a day-of-the-week effect.