台灣股市的動能效應投資人的下單策略

Abstract

本文目的是探討在台灣股市是否存在動能效應(momentum effect)與觀察投資人對於贏家、输家的下單策略(order submission strategies)。本文發現：第一、近年來隨著政府開放市場，動能效應也隨之顯現。第二、利用台灣股市所有投資人之委託檔與成交檔，本文發現個別投資人買進輸家、賣出贏家，傾向為反向交易者(contrarian traders)，但外資及投信皆為動能交易者(momentum traders)。下單積極度方面，整體而言，個別投資人的委託單對股價影響仍是最高；在三大法人間，投信與自營商皆較外資積極。第三、當形成期市場狀況改變時，投資人下單策略與成交情況也隨之改變。

The purpose of this paper is to inspect the existence of the momentum effect in the Taiwan stock market and analyze investors' order submission strategies for both winner and loser stocks. This paper finds that, as the government opens the financial markets to foreign investors, the momentum effect gradually becomes more evident. The examination of order and execution data confirms that individuals tend to be contrarian traders and institulional traders tend to be momentum traders. Individual investors who buy loser stocks and sell winner stocks have the highest impact on stock prices. Individual and institutional investors are often more aggressive than other investors. Finally, when the market conditions change, their order submission strategies and trading consequences change accordingly.