Return Volatility and Day Trading

股票波動與當沖交易

10.6545/JFS.2015.23(2).2

戴維芯(Vivian W. Tai)；陳明憲(Ming-Hsien Chen)；曾建閎(Chien-Hung Tseng)

當沖 ； 波動 ； 獨特性波動 ； 報酬 ； Day trading ； volatility ； idiosyncratic volatility ； return

財務金融學刊

23卷2期（2015 / 06 / 30）

19 - 54

英文

本研究分析臺灣散戶當沖股票波動特性與績效的關係。發現當沖者平均而言無法透過當沖高波動股票提升績效；但當沖贏家具備利用交易高波動股票賺取利潤的能力；原因在於贏家在當沖高波動股票上不存在過度自信的偏誤且專注當沖有經驗的高波動股票。本研究建議散戶若非對某支股票有足夠熟悉度，不應貿然進行高風險的當沖交易。

We analyze the impact of the preference for high volatility stocks on the day trading performance of retail day traders in Taiwan from 1995 through 1999. We find that, on average, individual day traders are unable to enhance performance through day trading high volatility stocks. Further, only day trading winners are able to earn money through day trading high volatility stocks because they do not suffer from overconfidence but benefit from their prior experiences of day trading in those stocks. Our findings suggest that individual investors should not actively day trade stocks unless they have sufficient experience and familiarity.

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