台灣股市漲停次日之當沖績效分析

The Performance of Day Trading after a Limit Up in Taiwan Stock Market

游騰芳(TENG-FANG YOU)；何怡滿(EMILY HO)

當日沖銷 ； 平均報酬率 ； 盈虧比 ； Day trading ； Average return ； Profit-loss ratio

輔仁管理評論

29卷3期（2022 / 09 / 01）

1 - 27

繁體中文

本研究以在2017年4月28日至2020年12月31日期間內，曾出現收盤漲停的台灣上市股票為研究對象，在個股漲停次一交易日以開盤價賣出，再以收盤價買進，分析當沖交易之績效表現。實證結果發現考慮交易成本後的勝率為52%、平均淨報酬率為0.24%、獲利平均報酬率高於虧損平均報酬率、盈虧比為1.06。由以上結果顯示，本研究之當沖交易策略在研究期間內有良好的獲利表現。此外，本文還進一步將樣本股票進行分類，分類因素包括：產業類別、個股股價階段、當沖成交比重、成交量是否突破新高等。研究發現若選擇電子零組件或半導體類股、漲停前股價位於盤整階段、漲停日當沖成交比重超過50%、漲停當日成交量有突破近5日新高之個股進行當沖交易，可以有更佳的績效表現。

This article focuses on the performance of day trading after a limit up for the stocks listed on the Taiwan Stock Exchange from April 28, 2017 to December 31, 2020. Our day trading strategy is to sell the limit up stocks at the opening price on the next trading day and buy them at the closing price. We find that the winning percentage after deducting transact ion costs is 52%, the average net return is 0.24%, the average profit return is greater than the average loss return, and the profit-loss ratio is 1.06 after deducting transact ion costs. The above results indicate that the day trading strategy has good profitability during the research period. This study further classifies sample stocks by industry, stock price level, the proportion of day trading, and the trading volume. Our findings show that if we do day trading by choosing the stocks in one of the following situations: electronic parts/components or semiconductor industries, stock price is in the consolidation phase before the limit up day, the proportion of day trading is more than 50%, or the trading volume of the limit up day exceeding the new high of the past 5 days, we can have better performance.

1. Barber, B. M.,Lee, Y. T.,Liu, Y. J.,Odean, T.(2004).,未出版
2. Chung, J. M.,Choe, H.,Kho, B. C.(2009).The Impact of Day-Trading on Volatility and Liquidity.Asia Pacific Journal of Financial Studies,38(2),237-275.
3. Garvey, R. & Murphy, A., “How Profitable Day Trader Trade: An Examination of Trading Profits,” Working Paper, 2002, University College Dublin.
4. Garvey, R.,Murphy, A.(2005).The Profitability of Active Stock Traders.Journal of Applied Finance,2,93-100.
5. Jordan, D. J.,Diltz, J. D.(2003).The Profitability of Day Traders.Financial Analysts Journal,6,85-94.
6. Kyrolainen, P.(2008).Day Trading and Stock Price Volatility.Journal of Economics and Finance,32(1),75-89.
7. 李岳霖(2019)。國立中央大學財務金融學系。
8. 許恩銘(2015)。國立中央大學財務金融學系。
9. 彭建偉(2021)。國立高雄科技大學金融資訊系。
10. 曾建閎(2012)。國立暨南大學財務金融學系。
11. 游鈞富(2019)。國立宜蘭大學運用經濟與管理學系經營管理碩士班。
12. 楊家維(2000)。國立台北大學經濟學系研究所。
13. 劉洺宏(2020)。國立雲林科技大學財務金融學系。

1. (2024)。以時間卷積網路結合長短期記憶模型預測股價：臺股預測實證。資訊管理學報，31(2)，177-207。