本文以台灣所有上市、上櫃公司為研究對象，探討台灣散戶的股票交易行為，研究發現台灣散戶買賣行為與過去市場報酬呈現顯著負相關，表示散戶為短期反向操作交易者，此外，發現散戶的股票交易量會在週中較高。透過投資組合分析得知散戶買賣成交量與未來超額報酬呈現反向變動關係且隨著時間的推移，散戶買賣成交量與未來報酬的反向變動關係將會減緩。過去文獻提及在不同的市場狀態下，對變數的預測能力存在差異，使用Gonzalez et al. (2005)中修正後的Bry-Boschan法則定義市場狀態，探討在不同市場狀態下散戶買賣行為與未來報酬的關係，發現在牛市期間散戶買賣成交量與未來超額報酬反向變動關係減緩，在熊市期間反向變動關係加劇，換句話說，在熊市期間散戶的股票買賣行為更加不理性，以上結果不論是使用雙層排序投資組合或Fama-MacBeth 橫斷面迴歸分析結論依舊穩健。

This article is trying to understand the trading behavior of individual investors in Taiwan. The results show that the trading imbalance of individual investors has a significant negative correlation with the past market return, supporting that individual investors are short-term contrarian traders. Besides, we find that the trading volume of individual investors is higher in the middle of the week. With portfolio analysis, it shows that the net buying of individual investors has a significant negative correlation with the future abnormal return; the net selling of individual investors has a significantly positive relationship with the future abnormal return. Besides, individual investors will not lose so much as time passes. Based on non-parametric Bry-Boschan which was revised by Gonzalez et al. (2005) to identify the market condition. We find that the reverse relation of abnormal return and trading imbalance weakens in the bull market and strengthens in the bear market. Both bivariate portfolio-level analysis and Fama and MacBeth (1973) regressions are robust to the results.

論文審定書 ……………………………………………………………............................................ i
中文摘要 …………………………………………………………………………………………………………….. ii
英文摘要 ……………………………………………………………………………………………………………. iii
第一章 緒論 ……………………………………………………………………………………………………….. 1
第二章 文獻回顧 ……………………………………………………………………………………………….. 3
第三章 研究方法與模型 …………………………………………………………………………………... 6
3.1資料來源與樣本選取 ………………………………………………………………………….. 6
3.2變數定義及衡量方式 ………………………………………………………………………….. 6
3.3研究方法與模型 ………………………………………………………………………………… 10
第四章 實證結果 ……………………………………………………………………………………………… 15
4.1 敘述統計 …………………………………………………………………………………………… 15
4.2 散戶的股票買賣偏好 ………………………………………………………………………. 17
4.3 散戶買賣不平衡與市場報酬的關係 ………………………………………………. 18
4.4 散戶買賣行為與未來報酬的關係 …………………………………………………... 20
第五章 結論 ……………………………………………………………………………………………………… 36
參考文獻 ………………………………………………………………………………………………………….. 37
附錄 ………………………………………………………………………………………………………………….. 41

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